Stocks Hold Green Close As VIX/Credit/Rates Signal Risk-Off

Tyler Durden's picture

From the knee-jerk spike after the ISM data, US equity markets sold off relatively calmly for the rest of the day. Headlines will crow of a gain to start the quarter and what that means empirically, the real stories are under the surface: AAPL dropped 3% from its early-day highs to end at one-month lows; VIX jumped 0.6 vols to 16.3%; HYG, the high-yield credit ETF, was weaker all day and dumped into the close on huge volume; Treasuries were bid into the close ending the day down 1-2bps; and FX carry slid all afternoon as the USD rallied from -0.4% to -0.1% at the close. Commodities were juiced by Evans' dovishness (and Iranian fears) but the spikes in Silver (and less so gold) were retraced - though they all ended outperforming USD's implied strength. Tech and Discretionary underperformed as Staples and Healthcare were the winners. Not exactly the herd of performance-chasing monkeys everyone expected eh?

 

S&P 500 futures jumped on the open, then again on the ISM pront and rolled over, accelerationg after Europe closed... found support at the unch line (on Spain rumors) but ended weak and notably south of VWAP...

 

Stocks fell back to reflect VIX's less excited view of the world...

 


Commodities (especially PMs) jumped early on ultra-dovish comments from Evans among other things...

 

Risk assets in general were in risk-off mode - both our ETF model (left) and broad risk-asset proxy (CONTEXT - right) were considerably less sanguine than stocks all day and sure enough equities converged back lower to end the day...

 

High yield credit ETF HYG dropped all day - as it has been diverging from stocks since QEternity hit. The flush into the close was on considerable volume too as it snapped back down to its NAV (lower pane)...

 

and a longer-term basis - we've seen this pattern before in high-yield credit nervousness ahead of stocks...(which notably began last time at the end of LTRO)

 

Charts: Bloomberg and Capital Context

 

Bonus Chart: AAPL's intraday slide was notable...down around 3% from its early highs... notice the VWAP orders after the close (i.e. sell orders)