Gold And Silver Win As Stocks And VIX Drop For Second Day

Tyler Durden's picture

Despite the vol-compressing efforts, the S&P 500 closed down for the second day in a row as the last 30 minutes or so saw a totally normal +/-5point roller-coaster around VWAP in its very 'human' way. The afternoon's dips and rips as VIX melted down further (now recoupled with SPX) had the feel of hedged longs unwinding both legs and for sure VWAP was the focus as Treasury yields fell and the USD rose on the day. Despite USD strength, precious metals rose into the green for the week. Risk assets in general saw correlations rise as the day progressed but the very narrow 10 point or so range that ES has traded in since the initial gap-open on Jan 2nd seems vulnerable here - and perhaps explains the urgency to compress the front-end vol to keep us up. Interestingly S&P 500 futures closed today at almost exactly the VWAP for the year (around 1452) so far. HY credit dumped into the close but overall it was a normal day of two halves - selling into the European close and buying after...

 

It appears spot VIX has recoupled with stocks now from the pre-hedging phase a week before the holidays. However, as is clear in the chart below, the March VIX (i.e. past the debt ceiling deadline) is increasing under pressure...

 

The year so far across risk assets in general... Gold started to catch up today to equities...

 

Today was all about the European close...and HYG's dump into the close...

 

and close up detail shows the VWAP oscillation in the afternoon to save us from the gap-open lows tested at the European close...

 

Doesn't exactly feel like the great rotation eh?

 

and cross-asset class correlation picked up... but equities pulled notably rich once to risk-assets in the afternoon (right) after recoupling from last night's decoupling...

 

Gold and Silver are winning on the week (with stocks -0.5% or so)...

 

Charts: Bloomberg and Capital Context