Same Old Same Old As VIX Dips, EUR Rips, And Equities BTFDs

Tyler Durden's picture

UPDATE: TXN misses and guides down:For the third quarter of 2012, TXN expects:

  • Revenue: $3.21 – 3.47 billion vs consensus Exp. of $3.53 billion,
  • Earnings per share: $0.34 – 0.42, vs consensus Exp is $0.43

VIX opened north of 20%, traded to 20.49%, and then it was decided that this level of premium over a recent calm realized vol period is too much and the front-end of the volatility market was crushed over 2 vols lower. While VIX closed up 2.3vols at 18.6%, the sell-off into Europe's close recovered handsomely on low volume leak back up to VWAP (thanks to HYG and VXX's stability) and then an afternoon push to last Monday's close before giving most of the afternoon gains back in a few mins after the cash close. The EUR dip-and-rip, the stick-save in the S&P whenever it tumbles with any kind of velocity, the fearless selling of short-dated vol, juxtaposes the general state of safe-haven seeking in Treasuries (and Swiss/German bonds) as the entire TSY curve saw record closing low yields amid a 3bps flattening at the long-end. Equity volume was meh, average trade size was meh - though as cash closed near day-session highs we saw heavy blocks selling, and ES traded between its 61.8% and 50% retracements of the March-to-June swoon. Broad risk assets did not play along with stocks this afternoon (though equities and gold recoupled) and neither did TRIN which remained very flat all day. The USD ended stronger by 0.2% (in line with EUR weakness) but SEK was the day's best major performer as AUD lagged (down 1% against the USD today). Volatility pulled plenty cheap to equities once again which remain notably more sanguine than credit and TSYs but the magic 1340 level in ES appears to be the line in the sand for now - though given a 10Y at 1.40%, do not expect NEW QE anytime soon - though Gold outperformed its peers on the day as WTI slid over 4% from Friday's close.

ES found some significant short-term support and resistance as it auctioned down and up today...

 

All 8 sectors of the S&P lost ground on the day but there appeared to be heavy rotation intraday as BTFD'ers were playing along ahead of AAPL's earnings, but VIX's undershoot on Friday's close (OPEX) forced a responsive overshoot on today's open which was enough ammo to drive a vol compression all day...

 

FX market saw their by now ubiquitous EUR selling into the US open and EUR buying into the European close. Notably SEK was a major outperformer relative to its peers...

 

but gold and stock stayed coupled until the drop in the early part of the day-session only for stocks recouple right into the close (and then selloff)...

but leaves ES at the lower end of a trend channel (though failing to make higher highs this time)...hovering at the 1340 level...

Risk assets didn't play along this afternoon - and rather notably, ES just reverted back down after the close...

Charts: Bloomberg