Low Range, Medium Volume, High Anxiety

Tyler Durden's picture

Equity indices end the day marginally red as the machines tried every trick in the book to get markets up...(levering FX carry, spiking PMs, running HYG, spiking vol) to enable more selling - especially at the close when we saw notable size blocks being traded into that ramp to try and get green. VWAP was the anchor all day for S&P 500 futures (and since the synthetics are where the liquidity is - everything else followed) as stocks trend-reversed as normal on the EU close. In general volatility and high-yield credit had a significantly weak day but into the close managed to rise a little as risk-assets broadly recoupled with equity markets to close. Despite a lot of noise and chop stocks lost a little, Treasuries gained a little (-2bps on the week!), Silver scrambled back from its flash crash (but gold didn't do as well), and the USD ended today up a remarkably unchanged 0.04% (with EUR up 0.5% and JPY down 2.2% on the week). VIX ended back above 18% as AAPL just keeps falling with its 300DMA now in play.

 

Into the European close, ETFs across the capital structure remained tightly coupled. After that equities took off while VXX/HYG/TLT remained far less sanguine (but were later dragged up to close recoupled). Resyncing CONTEXT (our broad-based risk asset proxy) showed it not as affected (as we commented yesterday) as stocks - though again recoupling into the close.

 

The equity market took off - in its now ubiquitous trend-reversion into Europe's close...

 

Credit market's are decidedly less excited about today's relative quietness - though bounced this afternoon...

 

FX markets have been very dispersed this week... but the EUR vs JPY batle has maintained USD practically unch all week...

 

Is the 300DMA and 2009-onwards trendline the line in the sand for AAPL? Certainly seems like the last best hope...

 

OPEX tomorrow so might see some fireworks but interesting that we didn't see too much today.

Charts: Bloomberg and Capital Context

 

Bonus Chart: Is EUR strength due to repatriation?

 

Bonus Bonus Chart: What's the link between major Central Bank action and the market cap shifts that occur between AAPL and European banks...?