Lowest Volume Of The Year As Stocks Inch Higher

Tyler Durden's picture


NYSE total volume was the lowest for the year today. Almost 20% below December's average and down 10% from Friday's already low volumes, US equity markets managed to limp higher post the European close. Notably, volume in ES (the e-mini S&P 500 futures contract) was also the lowest of the year (at around 1.43mm cars vs 2.11mm 50-day average) and what volume there was focused on the European trading session (and right at the close). Today saw the average ES trade-size rise to recent peak levels as we note trade-size picked up into the Europe close (considerably higher average trade size around the European close than normal) and then again at the close. Peaks in average trade-size have often pre-empted turning points in the market and we note that while markets closed quietly unchanged (practically), high yield credit lost ground on the day and broad risk assets (while mostly showing small net changes) did not as a whole rally off the European close lows as enthusiastically as stocks. VIX futures and implied correlation continue to diverge as we note that VIX actually closed higher for the first time in five days.

NYSE total volume today was -10.27% from Friday's abysmal performance and is almost 20% below December's non-holiday average.

ES average trade size (the lower pane) was its highest of the year today (in the face of dreadful overall volumes). As is evident from the chart - these surges in average trade size have tended to coincide with turning points in the market.

VIX futures (red) slid lower as implied correlation (green - the relative demand for macro protection over micro fair-value) continued to diverge bearishly higher. Note that the S&P (black) has largely trod water for the last two days as vol has leaked off. Short-dated VIX rose today (orange) for the first time in five days.

In credit and equities, HYG (high yield bond ETF) sold off into the close (green) quite aggressively on relatively high volume (considering the day it had). [It seems HYG was once again used as a battering ram to try and drag risk higher but was then collapsed into the close - as is evident here]. HY17 (the high yield credit spread index) leaked lower all day - diverging from IG (investment grade) credit - not exactly a positive risk-on perspective.

In order to better compare the relative performance of stocks (SPY) to the rest of the macro capital structure (Volatility, credit, and interest rates), we look at the above chart of Capital Context's SPY Arb model (as opposed to CONTEXT which tracks ES against other global risk assets). While there are days when one market will trend away from the others, the green line is a vol-credit-rate-based (VXX-HYG-TLT) proxy for where SPY should trade. It is clear that non-SPY elements were ramped in the late afternoon (this was mostly HYG up and VXX down) but SPY was not playing and hence the more significant sell-off in HYG and VXX into the close. Perhaps this 'manipulation' was to enable the heavier volume professionals to lay out shorts into the close?

High yield and Investment grade corporate bond advance-decline lines have rolled over and are heading lower - off some dazzling peaks in high yield. Interestingly, investment grade corporate bonds saw their first day of notable net-selling today (perhaps on the back of some new issue switches as energy, utilities, and consumer cyclicals were most net-sold) while high-yield saw net-buying, perhaps reflective of the recent rise in creation units (shares outstanding).

Industrials outperformed and Tech and Discretionary underperformed (unusually) amid the S&P sectors with financials managing to gain 0.5% more today (though well off their best levels of the day).

In commodities, Oil staged a late day surge back over $101 to end only modestly lower from Friday's close. Copper and Gold limped lower though the latter held above $1610 but found resistance near the 200DMA hard to get up to for now. Silver was the winner in spot as it rose 0.75% from Friday's close and the PSLV premium rose further too.

In FX, DXY (the USD index) closed back under 81 as EURUSD ended the day at its best (up around 0.38% from Friday) at 1.2765. The USD was weak against all the majors with SEK outperforming and AUD underperforming from Friday's close.

Treasuries yields whipped up-down-up today as we saw buying pressure into Europe's close and selling pressure thereafter. 30Y swung from +3bps to -4bps to close at unchanged on the day as the curve very modestly flattened.

Charts: Bloomberg

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Mon, 01/09/2012 - 17:47 | 2047810 SheepDog-One
SheepDog-One's picture

Ghost Casino. FED in total control of all markets now. I wouldnt touch any of this with a sack of free money I found in a ditch.

Mon, 01/09/2012 - 18:01 | 2047857 King_of_simpletons
King_of_simpletons's picture

Doesn't bode well for the market. I am looking for a high volume inverse melt-up soon.

Tue, 01/10/2012 - 03:00 | 2049381 resurger
resurger's picture

Amen! Am with you on that!

Mon, 01/09/2012 - 18:08 | 2047874 distopiandreamboy
distopiandreamboy's picture

Where is said ditch/free money? Bernanke been asking non stop about it

Mon, 01/09/2012 - 22:22 | 2048493 economics1996
economics1996's picture

For 2011 the Federal Reserve increased the M-1 money supply 18.5% from $1.8288 trillion to $2.1678 trillion.

In 2011 the M-2 supply increased 9.8% from $8.8037 trillion to $9.6648 trillion.

The Money Zero Maturity (MZM) increased 8.9% from $9.8562 trillion to $10.7373 trillion.

The monetary base, the money the Federal Reserve prints, increased 28.3% in 2011.

Mon, 01/09/2012 - 22:24 | 2048496 economics1996
economics1996's picture

Here is the link for those that want to see this, I write this crap for my students so the writing style is for students.


Mon, 01/09/2012 - 22:24 | 2048497 economics1996
economics1996's picture

And we know ZHers all have degrees, right?

Mon, 01/09/2012 - 22:44 | 2048632 SIOP
SIOP's picture

Thanks for the link. I just read it and book marked it. And.... it's not "crap".

Mon, 01/09/2012 - 21:00 | 2048287 LongBalls
LongBalls's picture

You are either a crack addict or gambling junkie if you are engaged in these markets! ABORT.

Mon, 01/09/2012 - 17:46 | 2047814 Caviar Emptor
Caviar Emptor's picture

Floating ghost casino...Ship of Fools

Mon, 01/09/2012 - 17:46 | 2047817 slewie the pi-rat
slewie the pi-rat's picture

this article from GATA Swiss central bank chairman quits over wife's currency trade | Gold Anti-Trust Action Committee   has an interesting final few paras:

The former Bank Sarasin employee accused of leaking the data is called Reto Tarnutzer, Reuters has learned.

Tarnutzer, who leaked details of the trade to the lawyer of one of Hildebrand's political adversaries from the right-wing Swiss People's Party (SVP), was quoted on Monday saying he had never wanted the private bank details made public.

"I wanted to achieve clarification and not an issuing of data," he wrote in a letter sent to several Swiss dailies.

He described the SVP's decision to hand over the information to the media as "ruthless," saying that the breach of bank secrecy endangered his future: "Here a potentially only small crime was fought with a bigger crime."

The psychiatric clinic where Tarnutzer was reportedly admitted after an apparent suicide attempt declined to comment.

Mon, 01/09/2012 - 17:56 | 2047849 SheepDog-One
SheepDog-One's picture

Got to keep a close eye on what your bitchez are doin.

Mon, 01/09/2012 - 18:51 | 2047951 luna_man
luna_man's picture



As for "bankers and the rest of the CRIMINALS"...No such thing as a small "crime"!!

No prisoners!...Right?


Good one!..."slewie the pi-rat"

Mon, 01/09/2012 - 17:47 | 2047820 LawsofPhysics
LawsofPhysics's picture

Vapor trading.  This changes when people rush to cash out the 401ks after things decouple further.  Recovery with >$100 oil, I think not.

Mon, 01/09/2012 - 17:49 | 2047825 SheepDog-One
SheepDog-One's picture

And all anyone can talk about is 'QE must come', fixing nothing at all of course and setting the new floor for oil at $120 or so. 

Mon, 01/09/2012 - 17:52 | 2047839 Caviar Emptor
Caviar Emptor's picture

I'm starting an evangelical church...for WS bankers. We pray for QE all day...if you pay

Mon, 01/09/2012 - 18:02 | 2047859 King_of_simpletons
King_of_simpletons's picture

QE shall return.

Mon, 01/09/2012 - 18:05 | 2047867 SheepDog-One
SheepDog-One's picture

If only we just BELIEVE....we shall surely be saved by the Messiah and his money printing deus ex machina.

Tue, 01/10/2012 - 03:00 | 2049383 resurger
resurger's picture

Am in!

Mon, 01/09/2012 - 18:27 | 2047898 Hansel
Hansel's picture

I don't think anyone is going to rush out of their 401ks anytime soon.  A 10-year note yields 1.9%, and everyone is aware of the U.S. fiscal position, so where do you expect people to run to?  Trading volume could just suck for years.

Mon, 01/09/2012 - 18:52 | 2047953 LawsofPhysics
LawsofPhysics's picture

People may not have a choice when they can't feed their families.  It all depends on whether or not deflation is allowed to happen or not. Lots of fiat looking for a place to go, it would really suck if all that fiat rushes back into the wrong places.  If the real cost for survival goes up and unemployment and wages remain stagnent, it really won't fucking matter what the market is doing now will it?  I'd love to see deflation while the rule of law honest accounting is restored.  Given the choice between deflation and inflation (causing people to get desperate for cash and close out 401ks) history is pretty clear on what TPTB prefer.

Mon, 01/09/2012 - 17:50 | 2047830 SMG
SMG's picture

I know nobody here knows for sure and neither do I,  but how do you guys think this year's going to play out?

I'm still saying crash in everything including precious metals in the first half of the year,  then I switch from being 80 % short equities (which has been really painful for me the last few months) and 20% PM's to 40% Silver, gold and uranium miners and 60% PSLV.


Mon, 01/09/2012 - 18:00 | 2047854 Wixard
Wixard's picture

I think, aside from your regularly scheduled shocks the trend continues.


Stocks mostly flat/down. Poor volume, lack of liquidity.


At some point though something is going to come, whether its a realization of a treas. bubble or some other un-calculated pop that's going to be catastrophic. There's just to many things up in the air that could end very badly. One of them HAS to fall.


But, I think that's actually bullish after that for stocks/gold/pm/oil.


There's just too much inflation and too much of a tide that went out for the prices to remain where they are.


That doesn't mean it's a good thing. Just in terms of numbers I believe we head up at some point this year.

Mon, 01/09/2012 - 18:09 | 2047862 SheepDog-One
SheepDog-One's picture

Markets dont like stasis, theyre due for another big plunge here. What 'trend'?  hell we've been in this same spot for months now. Markets are either going up, or going down, cant find a single instance where things just stayed in 1 spot month after month.

Mon, 01/09/2012 - 18:25 | 2047896 Wixard
Wixard's picture

The "trend" is to stay where we're at: Sideways or flat until another uncalculated shock moves us out of it. That's my opinion. Theres no big moves coming, just more bumpty bump in the day to day. (and wilds swings up and down.) but I wouldnt say we're entering any real change in where we sit. A bit like 2011 ending close to where it started. Although I think 2012 has some dire trains coming down the tracks.

Mon, 01/09/2012 - 19:13 | 2048000 Waterfallsparkles
Waterfallsparkles's picture

With the Market flat the HFT's cash in and no one else.

Mon, 01/09/2012 - 17:51 | 2047833 The Swedish Chef
The Swedish Chef's picture

Lowest as in YTD? Because lowest out of five trading days doesn´t say much...

Mon, 01/09/2012 - 20:12 | 2048191 object_orient
object_orient's picture

I just ate 17 pistachio nuts. My personal record for the year!

Mon, 01/09/2012 - 17:52 | 2047834 apberusdisvet
apberusdisvet's picture

Duh.....maybe the sheeple have finally woken up to the red flag of MFG?

Mon, 01/09/2012 - 17:54 | 2047844 non_anon
non_anon's picture

must stimulate

Mon, 01/09/2012 - 18:00 | 2047855 SheepDog-One
SheepDog-One's picture

Got to float some rumors out there! Nice juicy leak about QE in the morning should do it...hell everyone loves QE.

Mon, 01/09/2012 - 17:57 | 2047847 Comay Mierda
Comay Mierda's picture

upward triangle in spx into hard resistance at 1280.  will it fail?  the volume will come out tomorrow to play, likely to the upside. but who knows

Mon, 01/09/2012 - 18:00 | 2047856 slaughterer
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The only time volume increases is when the market drops.  

Mon, 01/09/2012 - 18:03 | 2047861 J 457
J 457's picture

Wheres that downgrade?

Mon, 01/09/2012 - 18:37 | 2047918 slaughterer
slaughterer's picture

I am disappointed that there are no downgrades as well.  Market talk said S&P would post some ratings actions today.  I have no idea what is responsible for this delay.   

Mon, 01/09/2012 - 21:08 | 2048302 walküre
walküre's picture

The delays are due to posturing by the French. S&P between a rock and a hard place.

IF S&P downgrades France, all bets are off. Wars have been started over far less. The French DGSE could inflict some damage on the US economy if told to do so.

Mon, 01/09/2012 - 19:52 | 2048122 Comay Mierda
Comay Mierda's picture

Study the upward triangle pattern and how volume is involved. No guarantee of upward breakout, but thats where signs are pointing

Mon, 01/09/2012 - 18:02 | 2047860 J 457
J 457's picture

Why- they can't take 1,290, so why do you say likely to the upside?

Mon, 01/09/2012 - 18:16 | 2047884 Traianus Augustus
Traianus Augustus's picture

Same shit...different year!!!!  Markets continue to provide the distraction while the country is looted.

Mon, 01/09/2012 - 18:17 | 2047885 frostfan
frostfan's picture

Does anyone still trade stocks?  Thanks to Tyler we all know the whole market is rigged unless of course you happened to be the lucky few who bought those call options on the stock BMY bought over the weekend.  But all that extra call volume  that was just coincidence of course.

Mon, 01/09/2012 - 18:21 | 2047889 Ned Zeppelin
Ned Zeppelin's picture

Vapor trading always leaks higher, few trades, HFT algos frontrunning by micro-pennies, slow drift up.  Does it ever drift down on a low volume day?

Mon, 01/09/2012 - 18:59 | 2047969 earleflorida
earleflorida's picture

only your 'robo' knows

Mon, 01/09/2012 - 18:48 | 2047941 chump666
chump666's picture

It's neither a bull or bear market

Mon, 01/09/2012 - 18:55 | 2047960 NotApplicable
NotApplicable's picture

Interesting that with the volume tide flowing out, a rising average trade size on ES is now on display as market turning point indicator.

It's almost as if you can see who's been swimming naked.

Mon, 01/09/2012 - 18:59 | 2047968 slewie the pi-rat
slewie the pi-rat's picture

selling corporate quality for hi-yield seems like taking on risk/return, overall

then, the sell-off @ the close


yet tyler wonders: Perhaps this 'manipulation' was to enable the heavier volume professionals to lay out shorts into the close?

the euro upskie was the news of the morning:  short-covering? or uncle sugar trying to put the brakes on the dollar's rise?

then, the major up-moves i saw were in the munchy-commodities:  ^7% cocoa; ^5.6% OJ; ^~3% on soybeans/products; ^2.7% wheat

how often does silver "drift upward"?

what will it take to get that dollar down?

how about...an election?  L0L!!!

Mon, 01/09/2012 - 19:06 | 2047985 ghostfaceinvestah
ghostfaceinvestah's picture

Bernanke has succeeded - in killing every US financial market.

Mon, 01/09/2012 - 19:19 | 2048021 Waterfallsparkles
Waterfallsparkles's picture

Without any trades the Hft gets stuck.  Kind of like an old time record with a scratch that kept playing the same part of the song over and over again.

Except for Aapl and Nflx the market has not moved for the last Month.

Mon, 01/09/2012 - 19:22 | 2048030 Waterfallsparkles
Waterfallsparkles's picture

What I find is that the Market is trading like a Bear Market.  With a pump at the open and then deterioration thruout the day.  Then at the close any stock that is down sells off.

Mon, 01/09/2012 - 19:26 | 2048043 chump666
chump666's picture


Mon, 01/09/2012 - 19:25 | 2048044 chump666
chump666's picture

good observation.  the sells at the end on low volume are a bear signal.  anyone calling for a 2012 bull market is brain dead.  at this point it's slinding more towards a major sell off.  the market is running on air

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