Another Day, Another 5 Year High (Except For Trannies)

Tyler Durden's picture

The Dow Transports broke its 10-day streak with a very marginal down day today but the Dow Industrials and the S&P 500 all pushed on miraculously running stops and pushing higher. While VIX remains decoupled the two markets traded in a correlated fashion to get the ramp going early and along with Treasury weakness risk-on was well supported. Risk-assets in general are becoming more systemically correlated as USD weakness and oil strength also contemporaneously pulled stocks to highs (led by energy on the week). The afternoon saw VIX decouple from stock's strength and also on the day overall, credit markets were not following along. Volume was above average with some larger block size up near the highs. FX markets reconverged (JPY weakness and GBP strength) to more systemic USD moves as the 10Y tested up near 2.000% but closed just below it. Gold and Silver rose continued their gains from yesterday midday. In general it appears risk is recoupled ahead of tomorrow's FOMC - apart from HY and VIX which appears more hedged.

 

The Dow Transports ended its winning streak at 10 days - managing to gain over 21% in the last few weeks and crush realized vol to almost all-time lows... the last time this happened...

 

VIX and stocks moved together early on but as the afternoon progressed so protection was bid...

 

And while HY and IG rallied trend-wise, they opened with a considerably greater bid for protection than stocks...

 

FX markets re-converged around the USD move on the week - though SEK appears notably strong...

 

The algos were in charge today as cross-asset-class correlations were exceptionally high...

 

Source: Bloomberg and Capital Context

Capital Context (@CapitalContext) LLC is the leader in integrating credit-market data to actively trade equity markets. From our world-renowned intraday 'CONTEXT' and 'SPY Arb' models to the daily long-short equity portfolio, sector-weight updates and tactical asset-allocation strategies, Capital Context offers sophisticated hedge-fund strategies to the active trading community.

 

Bonus Chart: Is This Really Another Year of Deja Vu?