VWAPalooza Keeps Risk Anchored (For Now)

Tyler Durden's picture

After last night's craziness, equity markets anchored off the synthetics and the synthetics anchored to VWAP. We clung there at VWAP all day long in S&P 500 futures with some rumor-driven angst into the close to try and get some levitation. Much was made of VIX's decline from its opening highs, however, a look back at the week and it is obvious that this was hedgers unwinding their positions (leaving VIX still notably more worried than stocks). Equities in general collapsed down to where yesterday's risk-assets had languished and cross-asset-class correlations were very high today (which makes sense as every algo in the market was working over time to hold us together after the flash crash overnight). The USD ends the week unchanged (with AUD 1.5% weaker and SEK 1.9% stronger) and early winners and losers in commodities reverted (oil down and silver/gold up today) leaving Silver -7% on the week still! Treasury yields ended only 7bps higher on the week (well off the 15bps on Tuesday) as Financials remain the week's winners (+2.5%) and Staples the losers (-2.25%).

VIX is still telling a different story... despite the compression today... lots of theta now until 12/27 when congress is back so makes some sense...

 

Stocks slumped to broad risk-assets' view of the world (from yesterday) and clung there all day (upper right). ETFs were a little more noisy with SPY under- and over-performing after Europe's close (upper left). Correlations (lower right) were almost 1 as algos were in charge...

 

which is even more obvious from the VWAP-hugger in S&P 500 futures today...(+/- 2 sigma around VWAP all day bid and offered)...

 

The USD ended the week unchanged...

 

and today saw commodities revert a little though Silver remains slammed...

 

Treasurioes and stocks stayed well corelated most of the week - though it seems that it is always stocks that get overexcited and revert...

 

Charts: Bloomberg and Capital Context