Gold Roars, Treasury Bores, Equity Floors, US Scores

Tyler Durden's picture

With GDP on Friday, FOMC around the corner, month-end T-3 ahead of that, and a market so ultra-sensitive to any and every word uttered from EU leaders, it is perhaps little wonder that volume was lack-luster (and so was commitment with the lowest average trade size of the year) today. What is perhaps most notable about a day when Treasuries ended unch to +1bps and stocks marginally higher is the weakness of the USD (pulling back to unch on the week) and strength in Gold (and Silver). What also surprises is the dramatic rise in correlation across asset classes - suggesting a high degree of systemic preparedness for some 'event'. Equities leaked higher all night helped by Nowotny's nonsense, double-topped at around the magical 1340 level once again and ended up pulling back down to VWAP (what a surprise). Financials led along with Industrials (and Utilities!?) as Tech lagged thanks to CRAAPL's 4.3% loss. WTI staged a solid comeback from earlier weakness but it was Gold and Silver that won (as the former managed to test $1610 - its highest in 3 weeks). The S&P 500 remains very marginally better than the Long Bond YTD as Gold is catching up. VIX dropped from around its 'fair' equity/credit price to spur some strength is stocks and ended the day down around 1 vol at 19.4% as ES managed to once again close just above its 50DMA (with heavy volume and large average trade size once again coming at VWAP into the close) perfectly at 50% of the March-to-June swing.

S&P 500 e-mini futures (ES) double-topped and ended back at Monday's swing low andVWAP support...

which left ES at exactly a 50% retracement of the March to June swing lower (and just above the 50DMA) with one of the lowest average trade sizes we have seen all year...

 

 

and an odd day with Gold bid - but nothing else...

and the USD dropped against the majors - pulling back to unchanged on the week...

 

Correlation soared today across asset classes - to practically 1.00 (lower right) - as stocks and broad macro risk stayed locked in step. VIX fell back from its fair level (lower left) but ETFs and equity indices in general (upper left and right charts) stayed locked together...

 

Gold outperformed on the day and Oil stabilized after early weakness (reverting back to Silver/Gold from two weeks ago). Copper remains weak...

and Gold is leaking back up to comparable YTD with ES and bonds (as the latter gets closer and closer to trumping stocks)...

 

Charts: Bloomberg and Capital Context

 

Bonus Chart: The interesting reversion of the last two weeks between Silver and Oil got us thinking a little - seems like Oil in Silver terms has a 'tradable' range and what is interesting is that we are now at exactly the average ratio of the two since the global coordinated central bank intervention of last November...