CruciVIXion

Tyler Durden's picture

The USD ends the week up over 0.6%, Treasury yields down 2-4bps, Silver up 4.6%, Oil 2%, and Gold 1.4%; but it is VIX that rules the waves of unreality this week as it collapsed from this morning's unchanged on the week, played catch down to stocks (from yesterday) and then led stocks on a vol steepening/compression extravaganza down to 12.31% - its lowest since June 2007 as the 'contingent' extension of the debt-limit appeared the initial trigger and nothing at all the secondary trigger. AAPL wavered below and tested up to $500 (amid very large average trade size) but was the distinct loser once again with size sellers as S&P 500 futures surged (yet agin inferring the unwind of the long-AAPL, short-ES trade continues). Once the fire was lit, there was no stopping the stop-chasing momo run in stocks as ES chased all the way up above the week's highs. VXX was crushed (as the curve also compressed) and high-yield credit and stocks tracked each other in the rampapalooza. Of course the moment the day-session close, ES cracked back lower but for now no one cares (ending up just 5 points in the S&P cash).  

Average trade size was high once again in the S&P as the USD, Bonds, and Stocks were bid.

 

Treasuries didn't buy it but who cares - VIX led the way...

 

VIX recoupled then they were off to the races together...

 

S&P 500 futures are 4-5points off the day-session closing highs as futures close...but we have tested this upper range...

 

And Treasuries were not buying this risk-on thing...

 

Nothing is stopping stocks now... USD strength on the week...

 

Tech was the only loser on the week (thanks to AAPL) as Energy and Industrials led - with financials just eking out a gain by the close today.

Stocks took off in the afternoon in a world of their own relative to risk once again as cross-asset-class correlatin collapsed with CONTEXT (our risk proxy) not buying into the strength at all...

 

The VIX term structure steepened notably once again to near 5-month steeps - and pushing it near a cyclical level that tends to mark short-term turning points in complacency in stocks...

 

What happened the last time VIX dropped this far this fast? It was July 2006...

 

Charts: Bloomberg and Capital Context