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Despite Low Volume Schizophrenia, S&P Extends Losses To 5th Day

Tyler Durden's picture





 

Normal. 7bps instaswings in 10Y Treasury yields and 10 point S&P 500 e-mini futures (ES) dips and rips makes perfect sense. In a desperate bid to get back to VWAP and to hold off a fifth day of red closes in the cash S&P 500 (most in two months), equities were ramped up into the green in the last few minutes of the day only to be sold into hard (on heavier volume and larger average trade size) ending the day down 0.02 points at 1341.45. Quite a day as the 10Y auction and FOMC minutes made for a tempest in a teapot close to close (but cardiac arrests for many intraday). HYG (the high-yield bond ETF) was outperforming most of the day and provided the 'target' for the ramp at the end of the day as VXX dumped (thanks to a more-than 1 vol snap lower in VIX - sell that short-dated vol!!!) and TLT was stable. Oil's surge (inventories) accelerated as the USD leaked lower after its post-FOMC spike and Gold/Silver/Copper all pushed higher also. We can only assume that the post-FOMC drop of around 10pts in the S&P 500 was what many investors believe is enough to prompt swift action by the Fed to NEW QE - though between Oil's move and Treasury yields rising post the the auction (and more post FOMC), broad risk assets actually signal a slightly higher ES - though we suspect the utter collapse in cross-asset-class correlations is the signal that coordinated QE hopes are indeed fading and that the algos late-day reaction (rip) to Treasuries will be recalibrated to new reality soon enough. Cash S&P 500 ended up bouncing off its 50DMA and while ES ended the day +1.25pts, VIX dropped a much higher beta 0.75vols to close just below 18% - wth Treasury yields up 1-2bps by the close.

Treasury yields (red) dipped and ripped around the auction. Stocks (blue) were unmoved until the disappointment of the FOMC minutes but as is evident by the green arrow, they resurged into the close to recouple with Gold and Treasuries...

 

but cross-asset-class correlation plunged on the day - as systemic QE hopes fade and markets decouple...

 

as ES manged to scramble back up into the Green and above VWAP into the close - only to lose it all back again and revert back down to VWAP after cash markets closed...

But it was HYG that led the way - outperforming credit and equity indices on the day...

and while Oil remains the big winner still post EU Summit (with Gold/Silver/Copper all aggregated together far below), on the week (and post yesterday's close) it seems the beta of commodities is clear - Oil, Copper, Silver, and Gold...

Leaving quite a notable dispersion in Treasury yield performance on the week - though all lower in yield still...

and just after the close - Supervalu suspended its dividend following a big miss and the stock ripped 20% and then crashed - now down over 20% in the after-hours session...

Charts: Bloomberg and Capital Context

 

Bonus Chart: VIX over-ran to the downside once again - just as it did on last Friday which ended badly for overly confident...


 


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Wed, 07/11/2012 - 16:30 | Link to Comment adr
adr's picture

Trying to make sense of today, fail.

Wed, 07/11/2012 - 16:36 | Link to Comment Dr. Richard Head
Dr. Richard Head's picture

I always love the AFTER MARKET action.  If the market is closed, how come trading keeps....fuck it...nevermind. 

Wed, 07/11/2012 - 16:47 | Link to Comment Unprepared
Unprepared's picture

Think of it as the aftermath of a bank job.

Wed, 07/11/2012 - 18:38 | Link to Comment fuu
fuu's picture

"Supervalu suspended its dividend following a big miss and the stock ripped 20% and then crashed - now down over 20% in the after-hours session..."

But, but, but buyout rumors...

"Nobody views it as a viable buyout candidate anymore," said Summers, echoing the sentiment relayed to Reuters by investment bankers. "Why pay for them when you're going to get the market share for free?"

Fucking pwnd bitchez.

http://in.reuters.com/article/2012/07/11/us-supervalu-earnings-idINBRE86...

Wed, 07/11/2012 - 16:56 | Link to Comment ACP
ACP's picture

True, should be called the "close of the HFT session."

Wed, 07/11/2012 - 16:50 | Link to Comment RationalPrepper
RationalPrepper's picture

Why stop at today?  S&P and DOW essentially flat...VIX down 3.2%!  WTF?  Been like that for days.

Wed, 07/11/2012 - 19:04 | Link to Comment kaa1016
kaa1016's picture

I'm with you. The VIX barely moving up when the market was down and then rolled over negative once a little buying in equities was a little puzzling. It's been like that for days. However, there has been buying in VIX call options for August between the 40 and 60 strikes. Big bets being placed on vol exploding by August VIX futures expiration. Open interest on the 40 calls are 137,000 and the 60 calls have 85,000 open interest. The 60 calls traded almost 20,000 on Monday. Things may not stay quiet for too much longer... 

Wed, 07/11/2012 - 19:39 | Link to Comment Mugatu
Mugatu's picture

The lack of movement in the VIX to me is more a confirmation that too may people expect the Fed to step in here.  No one wants to play the downside of this market because they know that the game is rigged.

And that's what is scary about this time versus the last 3 Summer swoons.  Every CNBC hack is saying the market mood is so bearish that equities must rise, but I see a market where everyone talks bearish but no one thinks it will go down - because of the Bernank Cornhole PUT.  People are actually wildly bullish versus their shitty reality right now.

Sound familiar?  Isn't this where the lemmings go over the cliff?

Wed, 07/11/2012 - 17:07 | Link to Comment Stock Tips Inve...
Stock Tips Investment's picture

The market is trying to correct. I think much of a coincidence that in the midst of this fall is announced the possibility of a new QE. In any case, if the Fed does not act quickly in this sense, the market continue its way ... downward.

Wed, 07/11/2012 - 16:36 | Link to Comment LawsofPhysics
LawsofPhysics's picture

There are no "technicals" when trading in a casino.  Unless you are the Fed, you don't know or own shit.

However, I do appreciate WTI's move up today.  Is this more war/Iran fear or is someone actually buying?

Wed, 07/11/2012 - 16:37 | Link to Comment Dr. Richard Head
Dr. Richard Head's picture

Oh indeed, all who play in this market own shit and that is about it.

 

Wed, 07/11/2012 - 16:45 | Link to Comment swissaustrian
swissaustrian's picture

US inventory data has come in much lower than expected for the second weak in a row, so there seems to be actual demand.

However, the move today still seems to be more geopolitically (Syria/Iran/Egypt) driven.

Given the DXY is at nearly 84, oil prices are really very high (so are pms by the way). Brent is above $100 again.

Wed, 07/11/2012 - 16:46 | Link to Comment Unprepared
Unprepared's picture

In a casino, you can always count cards, bluff and you don't play against Deep Blue.

Wed, 07/11/2012 - 16:39 | Link to Comment john_connor
john_connor's picture

Broken

Wed, 07/11/2012 - 16:39 | Link to Comment Meesohaawnee
Meesohaawnee's picture

like ive said before. one single human being has made the global equity "market" ( and i use that word very lightly) a complete utter joke. I see the word casino but in a casino there is actually a bit of chance. This is not. Bens short sale ban is obviously still in effect. I wish that statement was in the minutes

Wed, 07/11/2012 - 16:45 | Link to Comment RobotTrader
RobotTrader's picture

Bears were defeated again.  5 days down in a row and:

 

1) ES is still over 1325

2) 10-yr. yield still at 1.50%

3) Commodity prices still smashed, gold grinding at lows and key outside day reversal on DBA

4) Retail stocks like TGT, WMT acting as nothing bad happened the last 3 years

5) Shopping Mall REITS like SPG still pinned at record lifetime highs

Bernanke hands down is the greatest.  He can become even greater, if he follows Krugman's advice and prints even faster into 2013.

Wed, 07/11/2012 - 16:47 | Link to Comment Hedgetard55
Hedgetard55's picture

Your troll fu is quite weak, you need to take lessons from MDB.

Wed, 07/11/2012 - 16:47 | Link to Comment Bear
Bear's picture

Defeated? ... The FED will not consider printing until the economy deteriorates further ... I believe a huge victory was achieved today ... Mr. Market lets the Bears get in a higher level before calamity calls

Wed, 07/11/2012 - 16:49 | Link to Comment Unprepared
Unprepared's picture

Krugman for POTUS.

Wed, 07/11/2012 - 16:50 | Link to Comment El Oregonian
El Oregonian's picture

Yes, yes, yes, print ever faster 'cause I'm always running low in the toilet paper department, in fact I'll even use some of my silver coins to weigh down the paper pile for when I really let loose the wind...

Wed, 07/11/2012 - 17:02 | Link to Comment B-rock
B-rock's picture

Why are you such a vindictive prick Robo?

Wed, 07/11/2012 - 17:42 | Link to Comment slaughterer
slaughterer's picture

Robo posts quite often on "Wall Street Bears" site, although he is the most bullish trader I know.  

Wed, 07/11/2012 - 16:42 | Link to Comment ThunderingTurd
ThunderingTurd's picture

As I look at the markets I very much get the feeling like positions are being squared going in to the earnings season.  I believe, very strongly, that the markets will have significant selling pressure prior to options expiry next week.  My decision tree is looks like this...

Out of money puts=>cover=>physical maples.  Rinse and repeat until fall.

Also, I have been a long-time reader of the site and just recently became a member.  I appreciate everyone's opinion and insight...keep up the good fight.

TT

Wed, 07/11/2012 - 16:46 | Link to Comment Hype Alert
Hype Alert's picture

The 3:30 Painting the tape just gets old.  Not to mention a real confidence builder.

 

Desperate moves for desperate times I guess.

Wed, 07/11/2012 - 16:46 | Link to Comment Meesohaawnee
Meesohaawnee's picture

seems like the old theory of "every town has its village idiot" is true here on this board. Im pretty new. I think i have an idea who that is.. can anyone help? i see some titties. btw.. you can send your crack dealer to my corner. im right by the CME bro. wacker and madison.. I need what your on..

Wed, 07/11/2012 - 16:51 | Link to Comment IMA5U
IMA5U's picture

but the spy etf finished green

 

hmmm

Wed, 07/11/2012 - 17:10 | Link to Comment Hype Alert
Hype Alert's picture

Once again right around the 134.22 line I've had on my chart since Feb 2011.  Weird.

Wed, 07/11/2012 - 16:53 | Link to Comment GoldbugVariation
GoldbugVariation's picture

If we're going to get technical, it could be said that the S&P has broken the uptrend which has been in place since 1 June.  On that basis, expect S&P to re-test todays lows on Thursday or Friday.

And European indexes look like they are being held up on vapor alone, expect them to catch up with US equities to the downside on Thursday: DAX below 6400 at some point during the day.

Wed, 07/11/2012 - 16:54 | Link to Comment Boilermaker
Boilermaker's picture

REITS and the IYR simply shrug it off, again.

Decide to go up anyway and push 52 week highs.

Wed, 07/11/2012 - 21:27 | Link to Comment fuu
fuu's picture

This is where I would have expected you to go off, not the GM thing.

Wed, 07/11/2012 - 16:56 | Link to Comment EndGamed
EndGamed's picture

Market is manipulated, now the fuckers control the vix, no correlation. sickening

Wed, 07/11/2012 - 17:05 | Link to Comment Quarky Gluon
Quarky Gluon's picture

And in other news it looks like San Bernardino is next in line to declare bankruptcy:

http://www.investmentnews.com/article/20120711/FREE/120719977?utm_source...

Wed, 07/11/2012 - 17:06 | Link to Comment brainwashed
brainwashed's picture

I personally do not care how manipulated the markets are. I have learned to live with it. Most people care about being right, whereas they should care about making money. Five days of losses, but QQQ is still looking very good on monthly charts after holding 60 in June and there are V-shaped patterns on DIA monthlys. It's very difficult not to be a Bear given horrendous economic data and predictions, but I'd rather make money than be either a Bull or a Bear and the path of least resistance at this particular point seems to be higher.

Wed, 07/11/2012 - 17:15 | Link to Comment JamesBond
JamesBond's picture

funny thing happened on the way to the stock market,

every restuarant i go to lately only takes cash....

go figure.

 

jb

Wed, 07/11/2012 - 17:34 | Link to Comment hedgeisforpussies
hedgeisforpussies's picture

path of least resistance is actually lower but i agreee that if the market doesnt break 50da ma then market will go higher.  i expect the market to break it on friday when jpm reports but if it does not then yes go long. 

Wed, 07/11/2012 - 17:37 | Link to Comment hedgeisforpussies
hedgeisforpussies's picture

i have noticed interesting price action. when the bearish news comes out like today, the market tries to sell off then shrugs it off and actually rallies which is actually bullish. but the next day it is like reality hits and the market sells off and stays down which is bearish. so when bulls say that market is strong because it shrugs off bad news they seem to be wrong because the market does react badly to bearish news but only a day later. 

Wed, 07/11/2012 - 18:04 | Link to Comment q99x2
q99x2's picture

Krugman has been conquered by fraud and duarf.

Thu, 07/12/2012 - 07:51 | Link to Comment GoldbugVariation
GoldbugVariation's picture

If we're going to get technical, it could be said that the S&P has broken the uptrend which has been in place since 1 June.  On that basis, expect S&P to re-test todays lows on Thursday or Friday.

And European indexes look like they are being held up on vapor alone, expect them to catch up with US equities to the downside on Thursday: DAX below 6400 at some point during the day.

I didn't expect those two things to happen that quickly, but hey.

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