Market Shrugs Off Dimon Premium As Treasuries Lead Risk Lower

Tyler Durden's picture

It seems our warning of yesterday's perfect algo-driven retracement in Treasuries and stocks was spot on. The dead cat bounced just too perfectly for our liking and despite an early attempt to ramp markets on Dimon's testimony (which worked at first and then faded all the way into the close), broad risk assets led equities lower with a horrible close. It appears the 10Y auction was today's catalyst and it is clear from the charts that TSYs indeed turned lower (in yield) before equities woke up. The 1315 level (in September S&P 500 futures) was a stumbling point all day as decent sized blocks were dumped each time we moved above it until the market finally gave in and fell. WTI gave all its Dimon-spike gains back. Gold, Silver, and Copper wriggled along sideways (also giving back all the Dimon-Spike gains) but while the USD retraced higher into the close (-0.3% on the week now), Gold and Silver remain up around 1.5% on the week (with gold the outperformer on the day). VIX pushed dramatically higher to 24.5% (+2.3vols) and as stocks tumbled so equity correlation to risk-assets picked up (with notably stocks finding support as they converged with CONTEXT near the close). A last minute pop into the day-session close took us back to Thursday's close of last week but IG credit continues to point to lower risk appetites.

Treasuries led the risk-off move today...

and yields fell to yesterday's lows (except for 5Y which underperformed)...

and IG credit remains the underperformer...

as ES tried and failed to hold above last Thursday's close and Monday and Tuesday's VWAP close...

as financials gained and lost 1% as a sector with MS gaining and losing 3% from the start of Dimon's speech. JPM held on to 1.4% of its gains from the start of Dimon's testimonay but the roundtrip elsewhere is clear (and JPM's equity remains notably high relative to its CDS)...

WTI also retraced the Dimon-Spike

And all just as predicted by CONTEXT: with notably the highly correlated lift around Dimon's speech after which broad risk assets (proxied by CONTEXT) led the market lower and the almost perfect convergence at the close today...

as gold outperformed with the rest of the QE-sensitive spiked and dived on Dimon's testimonic brilliance...

Charts: Bloomberg and Capital Context

Bonus Chart: Realized volatility - the daily swings up and/or down - in the Dow is starting to pick up again (just as we warned in March) - as it follows a very similar path to last year once again...

Bonus Bonus Chart: Medium-term intraday ES - 1315 seems significant resistance (click for large chart)...

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zorba THE GREEK's picture

The only thing driving the markets these days is QE expectations.

larry david's picture

Paper is paper, etc...but volume in SLV was abysmal.  Like half of normal.  Something smells fishy.  Another smackdown imminent?  It seems like it's been a while...

Snakeeyes's picture

Dimon did say that JPMC isn't lending. He confirmed what we already know.

NotApplicable's picture

I was just reading an article on the Dimon circle-jerk when I ran into this comedy gem.

Even some of the Democrats sought out Dimon’s advice: Sen. Michael Bennet (D-Colo.), for instance, asked for his thoughts on solving the country’s long-term deficit crisis.

Dimon was more than happy to oblige. “I believe in strong regulation but smart regulations — not necessarily more regulations,” he said. Dimon did admit he was “dead wrong” when he dismissed early concerns about massive trading losses. But he assured the Senate committee that banks were always going to be able to foresee problems before any government watchdog. “Our risk committee took our company through the most difficult financial crisis of all time with flying colors,” Dimon said. “If it would be hard for us to capture it, it would be hard for [regulators] for capture.”

Regulatory Capture, FTMFW!

MeanReversion's picture

Looks like some heavy bot buying in the last minute of trading.

junkyardjack's picture

Surprise, the market will be back in the 1320s tomorrow.  Stuck in a sideways market but you need to use daily charts with greater than a 3 day window to see that....

CommunityStandard's picture

Uh-oh, you spoke poorly of Tyler.  Remember, the second rule of fight club is never speak poorly of Tyler.

Village Smithy's picture

Hey ES, put your bathing suit back on the tide's going out

disabledvet's picture

From "nonsense" to "non sequiter." I mean "WTF was being algo-ed" here again? The fact of the matter is information has nothing to do with what "the market" is doing other than in the shortest of short terms. Time for the Mother of All Blowups in the media space (already had it with Facebook? I say yes.) as INTEREST RATES and ROE crush the speculators on the SHORT side in the US. Now make way for World War Three in Europe.

RobotTrader's picture

Another forced selloff to keep hope alive for the bears, before they really jam it and we have a 300 point up day.

slewie the pi-rat's picture

you're prob right, robo


as long as everything nets out to:  screwed down tight, nobody will notice all the bigshot 'theys' are dead? 

that's the best part isn't it?  zombies painting the tapes for traders who use them as counterparties?

you are very good at what you do, and i always admire any salesman who is willing to dress in a bra, too...

GernB's picture

Bulls, bears, it all depends on the time frame.

world_debt_slave's picture

is that a head and shoulders thang'

R. Giskard's picture

Jamie Dimon weathered protesters and questioning at a Senate Banking Committee hearing today about JPMorgan's $2 billion in trading losses — armed with cufflinks that appear to be inscribed with the presidential seal.

The CEO that President Obama deemed "one of America's smartest bankers we've got" after the trading loss debacle, flashed a not so subtle message to the lawmakers that the boss has his back.

In more than one picture, Dimon was seen with the seal cufflinks visible. The seal reads "Seal of the President of the United States" and includes the arrow-carrying eagle.

bdc63's picture

well isn't that special ...

tongue.stan's picture

What smarmy piece of steaming shit. Someone needs to roundhouse kick his head into the next room.

LMAOLORI's picture

Simmer Down, Jamie Dimon

Obama's Favorite Banker Jamie Dimon Bitches About Regulations, Has Short Memory

Obama's favorite banker so no surprise

bnbdnb's picture

So what you think? Italy's auction tomorrow 3 to 1 bid to cover with rates in the 5-6% range?

Should be good for a 200pt rally.

Savyindallas's picture

What about Amway and Mary kay cosmetics - aren't those good investment opportunites?  you can probably make 12-15$ selling cosmetics.

michigan independant's picture

The information provided will provide a shelter some proceeds. Pass it forward.

michaelsmith_9's picture

Higher levels are ahead, however the larger picture is very significant.

michaelsmith_9's picture

Forex is one of the most efficient ways to trade the market and the AUDJPY typically leads the S&P 500.  The short-term price action suggests higher levels are ahead, but the longer-term picture is quite dramatically different.

chump666's picture

Europe got off lightly considering the EUR was major gamma prior to European open.  Slight volatility, I don't know about any Dimon spike apart from the fact he is a hyper defensive a-hole, which essentially should tell the market - something is up on the neg side.

There was 100% going to be a sell off today, dead cat bounce, last session, with a near perfect retrace was clearly obvious.  Very tight trading ranges, HFTs offer support momos go long, dip buying on the close.  All and all the market is waiting for the ECB to buy Europe again offset Greek chaos and Germany weakness (political/economic).  It's all eyes on the Fed, they announce (now) large USD swaps.  This will juice the market till the MBS buy up.  Market will rally, but still capped at psychological resistance.

Till doomsday...


Ungaro's picture

Remember the good ol' days, when people used to rob banks, not the other way around?

prains's picture

remember the good ol days when mussolini was hanging from a light post

bk1037's picture

Is there any other industry besides banking where someone like Jaime Dimon can preside over an organization that has lost over $ 2 billion, sound as clueless as he has to Congress, yet somehow someway the guy keeps his job? I mean what a farce the whole process has become.