Equities Jump As Risk-Correlations Slump

Tyler Durden's picture


Despite EURUSD trading in a 10pip range all afternoon (flat), a significant divergence in VIX (bearish), and a roundtrip to unchanged in Treasuries (flat), equity markets did what they do best - levitate. Volume slipped but was not terrible (as did average trade size) suggesting this strength is hardly the stuff of professional rotation (no matter what we are told to believe). For most of the day session stocks trod water in a small range but into the close (ahead of the vote tonight), S&P 500 futures went vertical amid absolutely and utterly no news whatsoever, blowing through yesterday's closing VWAP and beyond led by financials (now +4.375% on the week). Futures kept going after the close completely wiping out yesterday's losses. Silver came off the lows of the week marginally in the afternoon but ends today down 7.2% for the week as Copper and Gold follow it lower (and WTI +3% on the week). We suspect the liftathon is a remnant of the lack of size sellers (knowing there is no liquidity to move into) who are aggressively protecting via options. Most-Shorted names are the best performers once again.

HYG ramped in the last few seconds on decent volume as S&P 500 futures had already left the gate, interest rates and vol were not amused...


HYG's last minute move (which blew it to recent richest levels from intrinsics) looks like a combination of arb against SPY but could potentially be an effort to hedge across the CDS roll which took place today - either way, remarkable really...


But S&P 500 futures closed at Tuesday's closing level (as if by magic)...


Everyone talking about the great rotation... not seeing that in Treasuries, sorry...


Commodities are having a hell of a week - Copper (no recovery), Gold (no moar QE?), and especially Silver (no moar QE or recovery) are being monkey-hammered lower as Oil shrugs it off and joins the global recovery trade...


Across broad risk-assets, correlation with equities plunged as they were in a world of their own this afternoon. ETFs were dragged up by SPY at the very close...


Charts: Bloomberg and Capital Context

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Thu, 12/20/2012 - 17:29 | 3084155 Catch-22
Catch-22's picture

Anyone still follow any of this shit?  Oh, BTW…tomorrow with the end of the world and all… make sure you wear clean underwear…

Thu, 12/20/2012 - 17:43 | 3084192 flacon
flacon's picture

The only thing I know is that the market has a serious case of constipation. Sooner or later all that diarrhea is going to spill out all over the place - hopefully in the lap of the congress, senators, president and our bearded god-man Bernanke. 

Thu, 12/20/2012 - 17:44 | 3084200 PAWNMAN
PAWNMAN's picture

Don't know whether to prepare for zombies a meteor or space aliens. Decisions.....decisions.

Thu, 12/20/2012 - 17:50 | 3084218 HD
HD's picture

Alien zombies will arrive on earth via a giant meteor - they heard we are about to ban AR-15s...

Thu, 12/20/2012 - 18:55 | 3084404 LongSoupLine
LongSoupLine's picture

Krugman will immediately demand more printing to support our new alien invaders.

Thu, 12/20/2012 - 17:48 | 3084206 Catch-22
Catch-22's picture

My apologies to Tyler(s)…    I know you all work hard at this and I certainly didn’t mean to denigrate the work with the wiseass remark… just trying to inject a little humor.


Zero Hedge = Oxygen

Hey, I hope you all have great Holydays.


Thu, 12/20/2012 - 17:30 | 3084156 absente reo
absente reo's picture

Pre-dump pump on crude also, by the looks of things.

Thu, 12/20/2012 - 18:14 | 3084287 Gypsyducks
Gypsyducks's picture

WTI option skew seems to imply a break.... eventually.

Thu, 12/20/2012 - 19:46 | 3084606 asteroids
asteroids's picture

Wait a few more trading days and the market will dump.

Thu, 12/20/2012 - 17:42 | 3084177 Yen Cross
Yen Cross's picture

 My hourly risk charts look like there might be some more movement to the topside of risk over the next 24 hours. Barring any more fiscal cliff "he said/she said" crapola , or Mayan "ghost planet incursions"... Asia has been buying $ all week, but $ selling in Europe has been strong as well. Lot's of macro flow rebalancing.

Thu, 12/20/2012 - 17:41 | 3084184 HD
HD's picture

Street has gone from reacting to everything to not reacting to anything.

Thu, 12/20/2012 - 17:43 | 3084196 adr
adr's picture

What the fuck day. I love 10% 24 hour swings in Nat Gas.

In honor of modern times Tiny Tim:


Thu, 12/20/2012 - 17:45 | 3084202 Motorhead
Motorhead's picture

Charts, bitchezzzzzzzzzzzzzzz!

Thu, 12/20/2012 - 17:50 | 3084214 dvsteenk
dvsteenk's picture

as usual, manipulators pushing indices to their target levels, lines in the sand... tomorrow opex, makes sense

Thu, 12/20/2012 - 18:06 | 3084265 stormsailor
stormsailor's picture

the market went up,  i'm so suprised

Thu, 12/20/2012 - 18:07 | 3084266 phoolish
phoolish's picture

They can program the computers to do anything.  Carbon-based traders & investors are uninmportant.


Seriously, nothing that has mattered for all of preceding history matters any more in 'the market.'  All that matters is the days programming.




Thu, 12/20/2012 - 18:13 | 3084283 ball-and-chain
ball-and-chain's picture

I predict the DOW climbing to 42,000.

Why not?

The market loves free money.

And Bernanke's man-tits are squirting endless milk.


Thu, 12/20/2012 - 18:23 | 3084306 Eally Ucked
Eally Ucked's picture

Nobody buys stocks, many people buy physical metals, the rest just play on options and futures, or other derevative shit and that makes market. Futures, options, CDO, CDO squared or cubed that's the market and forget about anythinjg else, unless we will have options on options, futures on futures or any shit to 8 power. ETF's - what is this shit about, another tool to buy options and futures?

Thu, 12/20/2012 - 19:35 | 3084561 atoast2toast
atoast2toast's picture

the s&p does appear to be vwap reverting 

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