3 Month 'Slow' In Stocks As Everything Else Goes Nuts

Tyler Durden's picture

UPDATE: Biggest down day in Faceplant since 5/29 (down 8%) to close at $28.25 on double recent volume.

This was the narrowest day's range in S&P 500 e-mini futures (ES) in over three months and volume was dismally slow as it clung to its 50DMA amid larger than normal average trade size. Elsewhere, markets were anything but dead. Commodities dipped and ripped with WTI breaking back over $88 on Saudi news and Silver/Gold/Copper all ending around unch on the day but leaking off their highs into the close (though well off lows). For a while 'bad was good' as the retail sales print prompted QE-on-esque trades with Gold up, USD down, and Treasury yields plunging to near-record-lows. FX and commodities appeared to catch up to stock's more sanguine view of things from Friday but once there, Treasury yields reversed and rose into the afternoon as EURUSD continued to rally back well into the green (repatriation?) dragging the USD down 0.25% from Friday's close. Credit notably underperformed equities on the day (with HYG stumbling into the close). It seems everyone is waiting with baited breath for Bernanke's speech tomorrow and VIX (which is back in line with realized vol for the first time in 5 months) limped higher by around 0.4 vols to 17.1%.

It seemed like today was catch-up day for the USD and Gold to stock's ebulience from Friday. What is notable is that once USD/Gold/ES had recoupled then Treasuries started to sell back off. Somewhat suggesting in our humble opinion that EUR were repatriated by European banks selling down their US Treasury holdings which were soaked up by the US dealers who then unwound their implicit slightly long TSY position in the afternoon pushing yields up...

S&P 500 e-mini futures clung to their 50DMA (light blue) while exhibiting the lowest intrday range in over three months (middle pane) and very low volume (lower pane)...

though average trade size was notably above average  - and generally spikes like this mark turning points in professional positioning...

especially given how narrow band around VWAP we traded today...


S&P 500 index implied vol (black) has fallen in line with 3-month realized vol for the first time in almost five months...


Healthcare (safety rotation) and Energy (WTI pop) sectors were the only ones to end green as despite Citi's 'tremendous beat' /sarc, financials underperformed. Citi gave back all its early gains to add 0.45% on the day as the majors were mixed though JPM underperformed (JPM -2.8%) snapping back to the CDS-implied levels we warned about on Friday. Industrials underperformed...

but the question remains - why aren't stocks dropping as Treasury yields plunge? Well, apart from some crazy notion of QE3 driving rates even lower and maintaining the nominal price of stocks, all the volatility of the last few weeks in Stocks vs Bonds really comes down not to levels but shapes... as we have described in detail before the 2s10s30s butterfly is a prime example of a carry-driver for equity leverage and despite Treasuries in general all plunging to record lows, the shape of the curve has been relatively stable - as seen below... so if we are looking for further weakness in stocks we need to see 10s30s flatten MORE than 2s10s steepens (at least among other things)...

though we would not be surprised to see this gap filled...

Credit notably underperformed stocks on the day...

Across the models, correlation was breaking down (lower right) as would be imagined given the lack of movement in stocks and intraday shifts elsewhere. It seemed that risk assets in general (TSYs in the afternoon, and JPY crosses less so - also oil) were playing catch up from less than sanguone views from Friday's close (upper right). Across the ETF-space, HYG had an ugly close to drop into 'fair-value' with SPY (upper left) but then after hours we see some big blocks going through at Friday's VWAP (looking like sell-orders given where it was)...

but while SPY and HYG have had a bumpy ride with each other since the start of June (after being relatively well synced before that), Friday's surge in stocks dragged SPY up to HYG's position and HYG's underlying index also rallied up to this level (the green in the lower pane shows how rich/cheap the ETF is to its 'fair-value' based on its underlying bonds). At current levels HYG, HYG's fair-value, and SPY are all in sync...

Charts: Bloomberg and Capital Context

Bonus Chart: Biggest down day in Facebomb since 5/29 - down 8% at $28.25 - BTFD anyone? Which compared to a post-IPO VWAP (that is the volume-weighted average price of EVERY trade that has occurred in FB) is $33.24 means pain for so many...

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vast-dom's picture

Hey Bidderman looks like you're down over 4% on FUCKBOOK! See what happens when you invest in DOUCHEBAG CO.'s? (And even if you were up it'd still be a douchebag trade if matters of principle matter to you.)


Don't be a DOUCHEBAG yourself, okay?  And ALWAYS REMEMBER:




Now go SHORT THE PLANET bitch!


(If someone you know has a FUCKBOOK account, chances are you'll be unfriending them in real life.)

otto skorzeny's picture

Mother Nature is calling your QE3 bluff Bennie Hebrew

ZerOhead's picture

FarceBook on sale $28.25


vast-dom's picture

FUCKBOOK overvalued by $23.23, if PE means anything to you.

AldousHuxley's picture

2008 DIGG said no to Google's $200,000,000 offer

2012 DIGG sold to betaworks for $500,000


what goes up, comes back down

what goes up FAST, comes back down FASTER



Silver Bug's picture

But havn't you all heard! The European leaders have discovered the solution to the debt crisis!!


View the solution here:


ihedgemyhedges's picture

Yeah, good day to be a FacePlant hater.  Plus Yahoo is now the "laughing" stock of the Valley.  Great day to be in tech............on the short side of course.......

deez nutz's picture

Great day to be in tech............on the short side of course.......

There's never a short side, only a benocide.

FuzzyDunlop21's picture

About 10 more -8% days for FB and it will be priced reasonably. By the way, does anyone know why it dropped today?

ihedgemyhedges's picture

Can you tell me why it's traded up any day????????

Doña K's picture

Gravity could not be defied any more. The artificial levitation run out of steam. Maybe that article about thousands of phony accounts. 

lemosbrasil's picture

From tomorrow until next week we will be crash mode.....

All hedge indexes are with insane bullsih divergences and we have the same algorithm in jul-2011 and now to Dow Jones and SP500.....the same movement

see here: http://pracompraroupravender.blogspot.com.br/2012/07/tudo-pronto-para-o-crash-algoritmo.html

ebworthen's picture

Maria "G6" Bartiromo busy attacking Elliot Spitzer for attacking Hang Greenburg (AIG Thief).

Maria is such a Wall Street apologist.

Maria, where is your expose on CORZINE?

How about MOZILLO?

C'mon girl, get busy.

Bonds signaling September swoon for equities.

Tijuana Donkey Show's picture

Expose them titties! Show me the money honey, and get some clear heels for these deals!

Ineverslice's picture

Hey Maria, some Breaking News for you and Bill...

It's over.

otto skorzeny's picture

bet they're fat and saggy with silver dollar sized nipples

LMAOLORI's picture


Personally I'm glad then we get to see who else was involved for example obama's uncle warren

Spitzer lets it slip in this interview. It was the Oligarch from Omaha, Warren Buffett, who caused Spitzer to go after AIG, a major competitor of Buffett’s in the insurance business.



ihedgemyhedges's picture

Spitzer cheated on his wife, that's why she's pissed at him.  The rest of the guys just cheated in the market.......

LMAOLORI's picture


Treasuries Doomsday Is Four Years Away For Vanguard

Vanguard Group Inc., whose $148.2 billion of Treasuries makes it the largest private owner ofU.S. debt, says the nation has until 2016 to contain its borrowings before bond investors revolt and drive up interest rates.



walküre's picture

Did Vanguard Group just leak the upcoming election results?

If they're willing to wait four more years, it can only mean that O. has the 2nd term in the bag and Bernank is blowing bubbles for 4 more years.

stocktivity's picture

I'm not a fan of Ben but he actually became Fed chairman under George W. I'd guess whoever wins keeps the Bernack around.

madridisburning's picture

Too much guessing as to when the equity market will break down leaving too much egg on faces. The equity makt will break down when the momentum investor cartel cracks, and then the sad sack retail investor will be left holding the bag. In the meantime, there is a Fed induded tailwind, because the Fed wants wealth effects, damnit, so we will continue to get end of day rally marks and big zooms on marginally positive news.

stocktivity's picture

It only ends when they can no longer print and kick the can further down the road. until then...It's all Bullshit!!!

q99x2's picture

The world is ending. BTFD.

tawse57's picture

Someone kill these markets. Crash you fecker!

youngman's picture

What used to be a big event went off with not even a wimper....a US Ship fires on a vessel in the Arab terratories.....hmmm..that used to move the markets...nothing happenened but a little oil spike...wierd....in my stocks...voulume is about half....at some point this has to affect the stock exchanges I would think....they do not make money when no one is playing in their casino....I bet THEY push for a HFT charge....a little charge for each order...oh well...the keyboardist for Deep Purple died...a great musician...Hammond B-3´s live

Squid Vicious's picture

Jon Lord... amazing talent... RIP

walküre's picture

The German high court killed the party.

All Ponzinomics are coming to a complete still stand. The best part of this waiting period is that the whole world has time to figure out what a ponzi is and how thus far only a very small group has benefited and how the vast majority has been screwed.

Give it 3 months and the system is so dead that any attempts to revive it will be pointless.

The key to keeping the ponzi alive was that nobody paid attention to it and the money would always flow straight from the printers.