European, EM Stocks Slide On ECB Taper Concerns; US Futures Flat

With China on holiday, overnight sessions remain relatively quiet: at this moment, S&P500 futures are little changed as European stocks fall for first day in seven, on yesterday's concern that the ECB is moving toward tightening monetary policy; Asian indices rose slightly for third day. WTI climbs to $49.40, the highest since June 30 after yesterday's surprisingly large API crude draw report.

Explaining Today's Market Action (Hint: Blame Risk Parity)

"The punchline is that the passive / smart beta / risk-parity / risk-control systematic universe often times ARE the entities in the market causing counter-intuitive trading behavior, such as today’s price-action."

Italy's 50 Year Bond Issue Set At €5 Billion: Nearly 4x Oversubscribed

The global search for yield continued this morning, when as reported yesterday, Italy was set to price its first ever super-long bond in the form of 50 year paper. According to Bloomberg, the issue size will be set at €5 billion, but what is more impressive is that with €18.5 billion in orders, it will be nearly 4x oversubscribed.

Sterling Tumbles To 31 Year Low Pushing The FTSE100 Near All Time High; US Futures Flat

Sterling dropped to its weakest since 1985, hit by a growing sense that the UK may be heading for a 'hard' Brexit in which it cuts links to the EU's single market in favor of total control over immigration. The dollar strengthened, the Nikkei225 rose as the Yen fell,  stocks in Europe rallied while US equity futures were fractionally in the green.

Deutsche Bank Charged By Italy For Market Manipulation, Creating False Accounts

One day after Deutsche Bank stock soared from all time lows, on the back of what so far appears to have been a fabricated report sourced by AFP which relied on Twitter to "inform it" that the DOJ would reduce its RMBS settlement with the German Lender, today Bloomberg reported that Deutsche Bank and six of its managers were charged in Milan for colluding to falsify the accounts of Italy’s third-biggest bank and manipulate the market.

Weekend Reading: Back Where We Started

"Acknowledge the complexity of the world and resist the impression that you easily understand it. It’s a basic fact of life that many things ‘everybody knows’ turn out to be wrong."

This Is How Much Liquidity Deutsche Bank Has At This Moment, And What Happens Next

Following today's Deutsche Bank fireworks, Goldman reports that "crisis” questions are being asked: “is there risk of a financial crisis re-run” and “can a large European bank face a liquidity event”? To answer these questions we look at the total liquidity accessible to Deutsche Bank, and what are the options facing the bank next.

US Spending Disappoints In August As Savings Rate Rises For Second Month

After pesonal spending growth slowed modestly one month ago, rising 3.8% Y/Y, in August US consumption once again disappointed, staying flat in the month, below the 0.1% expected sequential rebound, although this was offset by an upward revision to the last month's data from 0.3% to 0.4%. On an inflation adjusted basis, as feeds into the GDP beancount, Real PCE dipped -0.1% in August, well below July's 0.3% bounce, missing the expectation of a 0.1% rise while the Core PCE Index was inline with the 1.7% expected on a Y/Y basis.

BofA Stunned By Record VIX Roundtrip; Fears "Fragile Market"

In recent months, BofA notes that the speed of mean reversion in the VIX has been particularly striking by historical standards. Since the end of QE3, VIX spikes have had very little persistence, generating low cumulative volatility relative to the previous 25 years, underscoring BofA's thesis of a fragile market that features rapid jumps from states of calm to states of stress and back.