Late-Day 'Leak' Not Enough To Save The World

Tyler Durden's picture

A well-timed leak of an Obama-Boehner meeting this evening provided enough exuberance to allow algos to lift the markets (futures and ETFs first) from 'about to break the lows' to VWAP (to the tick!). S&P 500 futures picked off VWAP perfectly and slid back. The Dow and the S&P spent the afternoon stuck at unchanged on the week before the rally-monkey saved the day (as did Financials). Treasury yields continue to bleed higher (now up around 10bps on the week). Silver dislocated (worse) from its commodity peers who have recoupled +/-0.3% on the week (even as the USD is -0.6% on the week). Gold and silver (as we noted earlier) really fell out of love from the start of the day-session but silver was starting to recover into the close. AAPL was very close to its lowest close in 10 months (but again was rescued by some rampant white house leak about a totally fruitless rumor) though ended at a critical VWAP support level. By way of record-breakers - today marked the first time that we have seen stocks negative from the day before a QE announcement to the day after (no matter what Bob Pisani tells you). Equities tumbled into the close (after ringing the bell at VWAP) ending near the lows after-hours leaving financials and energy practically unchanged on the week. VIX jumped 0.5 vols to 16.4% and HYG had a very weak day on significant volume. But apart from that...

 

This is the first time (by a long way) that the period from the day before a QE announcement to the day after has seen a negative performance - has the Fed lost its magic...usually good for 2-4% rise in stocks alone!!!

 

and the NASDAQ has averaged 2.1% gains, but this time -1.1% oops...

 

The late-day leak-driven ramp was just too obvious as this tweet showed only to well -

 

 

S&P 500 futures faded on Pelosi, Boehner, and Reid...stuck at Unchange for the week... were rescued by a leak of a meeting... rallied to VWAP (perfectly) on good volume (pros dumping into retail)... then faded back into the close to end near the lows of the day..

 

A close up on the leak and ramp...

 

The Dow and the S&P managed to pick off of red for the week just...

 

Leaving Financials and Energy around unch and quite a dispersion among the rest...

 

Across asset classes - credit was the laggard (in terms of risk-on) though the late-day 'surge' in volatility and stocks on the meeting-leak was enouigh to recouple them with rates for a split-second (and VWAP) before they dumped back into the close...

 

AAPL pulled back on the leaked news into the end of the day to avoid a 10-month low close but remains in a critical VWAP support region from the last big volume dump day... precarious at best...

 

Commodities had a bad day - though gold did hold up through the US day session...

 

Today's 30Y tailed by almost 3bps (ugly) and leaves Treasury yields higher by around 9-11bps across the curve on the week...

 

Charts: Bloomberg and Capital Context