Theater-Off: Stocks Slump Most In 5 Weeks As Bipolar Market Forgets Its Lithium

Tyler Durden's picture

It's rather ridiculous that today's sell-off of around 0.6% (in the S&P) is the largest plungefest in five weeks. Volumes were high, though not as high as yesterday's with average trade size also relatively high. S&P futures peaked right before the US day-session open today and dropped all day long (with a slight bump higher into the European close) retracing most of yesterday's gains with decent blocks going through in the last few minutes push to lows. VIX led the weakness all day and stocks' selling pressure ignored relative underperformance in Treasuries (yields ended the day around unch), modest USD weakness close-to-close (though the day session saw USD strength return), and a spike in WTI (+3.1% on the week). Even trying to lever HYG didn't work to keep stocks up today. Gold and silver cliff-ledged early but gold recovered and stabilized while Silver slid to lows of the day (-3.5% on the week). Trading was relatively orderly until the last few minutes which saw a typical push for VWAP fail and the sell orders piled up into the close (and beyond in futures).

While the S&P was the worst performer on the day, the Russell and Dow Transports managed to close green - of course, why wouldn't they? (as AAPL closed near the lows)

 

S&P 500 futures roundtrip of yesterday with failed VWAP push which forced sellers to cover in a hurry...

 

VIX (spot and futures) led stocks down...

 

Vol went first, then stocks, then credit, and then finally Treasuries started to roll to risk-off and everything dumped...

 

Rates (TLT) tended to hold stocks up more than otherwise with VXX and HYG dragging things ugly into the close...though stocks were the clear underperformer...

 

Stocks sold off on their own to some extent among the risk-assets and this is nowhere better indicated than by today's slump in cross-asset class correlation (which tends to mean the algos are losing control)

 

Silver definitely the laggard this week...

(as the S&P overtakes Silver YTD)

 

For now, Treasury weakness is about all there is holding stocks up, risk-assets in general wanted lower but models were denied by that lack of Treasury buying. Today had the feel of OTF (other Time Frame) money looking to exit stocks (and high-yield credit) as the de-correlation implied pressure was too much for algos to manage.

 

Charts: Bloomberg and Capital Context