Spreads were broadly wider in the US as all the indices deteriorated. Indices generally outperformed intrinsics (as post-roll derisking covered by index hedges seemed prevalent) with skews widening in general as IG's skew decompressed as the index beat intrinsics, HVOL outperformed but widened the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY outperformed but narrowed the skew.
The HFR Market Neutral index is back down to when we first discussed it. In the meantime, market neutrals have repeatedly tried to leverage up on numerous occasions and failed every single time. With YTD performance of -3.88%, it will likely only get worse from here.
The 50 DMA and 200 DMA are about to collide. What next?
Also, major volume into the last minute of sell off and continuing after close (going from cumulative below average to well above): Merrill and Susqehanna trading 1 million SPY share blocks after close independently.
Developing story: this means that unemployment will either be allowed to reach its true, "unadjusted" levels in the low teens shortly, or will be kept artificially low for 2-3 months, allowing that to be spun as a green shoot by CNBC. Time will tell.
San Francisco Fed providing their 2 cents on classical Keynesian economics as pertains to the efficacy of the $787 billion Obama Stimulus Plan. In summary: "The uncertainty ... remains high. Several economists remain skeptical that fiscal multipliers—whether from spending or taxes—are very large (see, for instance, Barro 2009). Moreover historical relationships may prove much less reliable during this downturn.
Claudine De La Villehuchet, widow of Rene?Thierry Magon who commtited suicide on December 23 after losing everything in the Madoff scheme (over $1.4 billion in personal and client capital), has spoken out for the first time. In an interview with Fox Business Network's Adam Shapiro, Claudine calls Madoff "a murderer" and for the first time comes clean with her own personal tragedy.
Moody's has released its April Moody's/REAL Commercial Property Price Indices (CPPI) update and it is a doozy: -8.6%, after what many had expected was a shooting green reading of just -1.7% in March. The problem that many don't grasp, that even Moody's has finally caught on, is that once capitulation in CRE sets in, the bottom will be torn out. Furthermore, after the Madison random walk last week, this weekend I did a comparable one for 5th Avenue.