Down, Up, Down, Up, Down, Up, Down, Up, Down, Up, Down... Up

Tyler Durden's picture

For the first time since 1981, the S&P 500 has rotated from up to down to up for 12 days in a row - adding 4 points in that time. 10Y Treasury yields have dropped 8 of those 12 days and closing today at 1.75% - their lowest of the year, the biggest 10-day drop in yields in five months - but stocks ignored that correlation. EURJPY was the story of the day as JPY weakened 4% against the USD from the BoJ news - but stocks ignored that correlation. Oil slumped once again on the day (-4% on the week) - but stocks ignored that correlation. Stocks in general oscillated intraday around VWAP (as we sense the algos have no confidence in their correlations) and real money awaits tomorrow's NFP debacle.

 

Today in the S&P -all the volume on the downswings and VWAP was your friend...

 

The last 12 days in the S&P 500...

 

and Treasuries...

 

for the biggest 10-day drop in 5 months...

 

with JPY being the story of the day...

 

as gold and silver stabilized but oil tumbled further...

 

HY credit and Treasuries were not buying this today at all as they closed at their lows (HY price and Treasury yield). Capital Context's SPY Arb model shows the disconnect began in earnest around 230ET...

 

Charts: Bloomberg and Capital Context