The Most Ridiculous Close To An Unimpressive Week

Tyler Durden's picture

With a late-day surge into the green for the S&P 500 futures on (as usual) absolutely no news at all (attributed to MSCI rebalancing) - that crossed the entire day's range in the space of 40 minutes, the Dow managed to just hold 13,000 and close green for the week. There was very significant volume and block size into the ramp as it pulled away from risk-assets as only a month-end move can magically achieve. In the same way as last Friday's close was just remarkably silly, today followed the same path - though we note that rates and credit were outperforming stocks most of the day and provided the target for the late-day surge. Once that target was closed, S&P 500 futures then melted-down around the close and after-hours. Utilities were the big winners on the week (+3.5%) as Financials and Energy lost around 0.7%. Silver crumbled to recouple with Gold (down around 2% on the week) while Copper gained 3%. Treasury yields steepened into the close with the 30Y pushing higher but ending -2bps (while the 10Y was -7bps). What a crazy stop-hunting, algo-driven, VWAP-reverting end to a week of political volatility.

 

It seems our tweet came true - but failed in the end...

The S&P 500 futures up close and personal - just crazy at the close...bouncing off VWAP and unchanged... on huge volume... (h/t @eminiwatch)

 

Equity indices ended the week in the green - though barely for the Dow and S&P...

 

and for the month - the Dow closes red and the S&P just green...Maybe more interesting is the fact that from the close before the election result (11/6) the NASDAQ is unchanged, SPX -0.9%, and Dow and Transports -1.7%

 

with Utilities the week's big winners (and Fins and Energy losers)...

 

And among the financials - only Morgan Stanley managed gains...

 

All-in-all - broad risk assets were not impressed and certainly did not play along into the close but the ETFs across the capital structure provided some support (as HYG was levered up - still considerably rich to its intrinsics)...

 

as is clear below, stocks overshot to the downside on Tuesday/Wednesday relative to crediot but this week's inflows have once again supported the HYG high-yield bond ETF (even as its intrinsics remain flat (lower pane shows the richness of the ETF to its underlying portfolio). The green oval upper right shows the crazy swing higher in stocks at the close today which appeared to be a catch up to HYG - once hit, heavy volume hit HYG and SPY also tanked back down...

 

VIX jumped to 15.87% at the, down on the month but up for the week...

 

Commodities were widely mixed but precious metals recoupled at the end...

 

and Treasuries saw curve steepening to close the week though the entire curve dropped on the week (and 2s10s30s signaled considerably more risk-off than cliff-off)...

 

Charts: Bloomberg and Capital Context