Another Dow Record As 3:30 Pump Becomes 3:30 Dump

Tyler Durden's picture

The 'down-up' streak is over, long live the next streak. Precious metals had a big day with Silver and Gold surging 1-2% (among the biggest moves in 7 months); Treasuries pushed higher in yield from the open but faded rapidly into the close to end unchanged ay 1.75%; Commodities in general were bid on the back (supposedly) of China's lower inflation print; IG credit was bid while HY credit (spreads not the HYG ETF) rolled over into the close. What was most evident was the total and utter failure of the 3:30pm Ramp - it seems our discussion of the farce last night brought a world of front-runners to the game and ruined the Algos day as instead rallying S&P 500 futures dropped 4 points in the last 30 minutes - this is the biggest 3:30-to-4:00 loss in six week (and 3rd biggest of year). The world was celebrating another new all-time high in the Dow and the S&P gave back half its gains to close +4 points; but the Dow Transports closed -0.3%, and the Russell 2000 (for so long Bernanke's policy tool) ended -0.23%.

It seems the algos have been defeated for once...

 

as S&P 500 plunges back to VWAP at the close...

 

The Nasdaq won the day but the Russell and Dow Transports were not happy into the close...

 

Why did the Nasdaq win today (and turn around when it did)? Our guess is - the algotron-5000 needed to get the index back up to pre-Cyprus levels before the big boys could dump to retail in size...

 

There was an apparent up-in-quality and up-in-capital strcuture shift late today...

 

And while bonds ended unchanged, JPY weakness (more against EUR than USD) provided the impetus for stocks surge but the algos were foiled in that last 30...

 

and commodities had a good day...

 

as it seems like at least one big player was forced to buy back in (judging by Silver's spike)...

VIX ended back under 13% - but still well north of the 11% levels we saw when stocks were here last time...

Charts: Bloomberg and Capital Context

 

Bonus Chart: It look svery similar from a BTFD perspective - except we never made it back to trend this time and the late-day fade is notable...

 

Bonus Bonus Chart: Just when the 'shorts' thought they had a chance of outperforming... they get snapped back to reality... Since the Italian election 'dump' in stocks, shorts were starting to do ok very recently but in the last 3 days the most-shorted names in the Russell 3000 have been smashed/squeezed higher back in line with the index itself post-Italy... obviously - it is pretty clear that this was also a month that started with shorts being actually sold - and outperforming by 300bps until last friday - but now back to normal...

 

Bonus Bonus Bonus Chart: For those with a neutral market view, perhaps the most obvious pairs trade is HYG vs SPY (at around a 3x delta) adding to the position as it widens away from fair - especially in light of the redemptions that HYG is seeing...