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Stocks Extend Gains But VIX/Credit Unimpressed

Tyler Durden's picture


Despite a last minute surge (as stock indices lurched from their day-session open to closing VWAP levels), US equity markets extended gains but basically slid lower once Europe had closed. The day session opened gap higher as Europe extended (though Spanish debt slumped) and rushed out of the gate to new multi-year highs only to stumble on high volume and large block size into the European close. Also notable that VIX - which had tracked stocks from the QE3 announcement, began to push higher as stocks 'capitulated' up in the high 1460s and then stocks rolled back downhill for the rest of the day. VIX ended the day up 0.5vol at 14.5% while ES closed up 8pts. Equity sectors have split into 3 groups from the FOMC statement - Materials/Energy/Financials +~3.5%, Industrials/Discretionary/Tech +~2%, and Healthcare/Staples/Utilities +~0.5%. The USD lost 1.65% on the week (EUR +2.3% and JPY -0.18%) as Treasuries saw some vol but were basically one-way street with the long-bond +26bps, 10Y +20bps, and 5Y +6bps. Commodities outperformed USD-implied moves with Oil/Silver/Gold all up around 2-3% on the week - while Copper surged overnight to gain just under 5% on the week. Credit markets were less exuberant than their tracking stocks yesterday with HYG ended the day red.


S&P 500 e-mini futures surge out of the gate (from the US open) and were sold into by some bigger volume blocks... we fell to lows of teh day - which were the opening day-session level and then pushed up to VWAP to close neatly...

Protecting Gains? VIX notably underperformed today and stocks felt pressure once the retail orgasm hit this morning (and some capitualtive volume ran through into the European close)...


but sectors seems extremely trifurcated...


FX markets were very dispersed bythe end of the week with EUR winning and JPY losing (as carry trades were extended)...


but commodities outperformed the inferred USD weakness - with Copper spurting overnight...


Treasuries were prety uch offered all week - with some vol in the last two days but between inflation prints and risk-on, it was hard to keep rates down - even for the great Oz...


which we note saw rates moving as much as MBS spreads compressed - kinda removing a lot of that 'this is for main street - housing is saved - low mortgage rates' chitter chatter we were fed.


Risk assets in general played catch up overnight with further FX carry strength and Treasury weakness dragging CONTEXT (our risk-asset proxy) up to Stocks. Correlation resurged and risk and stocks generally tracked well - though the end day push in Stocks seemed more about bouncing from S&P 500's day-session open to its VWAP and CONTEXT than any real buying pressure (and in fact - the deltas - based on bid-side vs offer-side - suggest this more selling into the pump than buying but who knows anymore...)


Charts: Bloomberg and Capital Context

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Fri, 09/14/2012 - 16:30 | 2796885 The Wizard of Oz
The Wizard of Oz's picture


Fri, 09/14/2012 - 17:11 | 2797029 veyron
veyron's picture

Time to switch from "long metals long miners" to "superlong metals short miners"

Mon, 09/17/2012 - 02:52 | 2802431 MeelionDollerBogus
MeelionDollerBogus's picture

Or how about $1000 for a gold miner, every time another 1000 x 1 oz bars are counted into the stack.

Fri, 09/14/2012 - 16:31 | 2796888 Vincent Vega
Vincent Vega's picture

$40B a month just won't buy what is use to.

Fri, 09/14/2012 - 16:34 | 2796905 Tijuana Donkey Show
Tijuana Donkey Show's picture

It's still a good amount of blow and pussy, so party on Wayne! Party on Garth! Schwing!

Fri, 09/14/2012 - 16:48 | 2796953 ACP
ACP's picture

Agreed. It makes for one hell of an "End of the World" party!

Fri, 09/14/2012 - 16:52 | 2796968 buzzsaw99
buzzsaw99's picture

the bernank freaked when he saw that Lord Blankfein's 2012 bonus check was only going to be in the seven figure range. it's okay now.

Fri, 09/14/2012 - 17:10 | 2797020 withnmeans
withnmeans's picture

The Greeks are starting to get smart, Good For them.

Suing Morgan Stanley for screwing them over, Atta Boy !!!


Fri, 09/14/2012 - 17:06 | 2797005 WhiteNight123129
WhiteNight123129's picture

You are reacting exactly as intended thank you.

If the Fed is pointing a fire thrower on AAPL s cash pile, Tim Cook will waste his cash. If the Fed is pointing a firethrower on the Bond trader nice account of fiat accumulated in front running the Fed he will think what the heck, let us throw a party and bring a bunch of hookers. If the Fed points a firethrower on the account of the stockbrokers who thought a beautiful deleveraging = higher stocks and higher bonds (bonds are understanding it right now, equities not yet, they are the last idiot always.) Your coke snorting stockbroker who bought Jeff Koons will panic and his cash he will spend! In the end the Fed will not need to burn the cash of those people, THEY WILL BURN IT ON THEIR OWN, CHUCKLES....And that will help the consumer deep in debt.. Inflation = increase in circulation = increase in wages, for now we have dollar devaluation in terms of hard assets, with little increase in wages. The Steepening yield curve is bringing stagflation slowly. The poor IRR project the corporations will be forced to do will generate little output, throwing money for little output is a second definition of stagflation.

Fri, 09/14/2012 - 16:59 | 2796980 SelfGov
SelfGov's picture

If I had $40,000,000,000.00 to spend on blow and pussy in one month I would survive until day 2.

Fri, 09/14/2012 - 17:08 | 2797012 ACP
ACP's picture

No need to be negative. You could afford your own mobile trauma center, doctors and other personnel to insure you enjoy every last penny.

Think outside the box!

Fri, 09/14/2012 - 16:49 | 2796959 urbanelf
urbanelf's picture

Billion here, billion there... it's good for da ekonomeee.

Fri, 09/14/2012 - 20:59 | 2797713 GernB
GernB's picture

Billion here, billion there and pretty soon it starts to add up to real money.

Fri, 09/14/2012 - 16:57 | 2796974 LongSoupLine
LongSoupLine's picture



I remember way back in '09 when a $400B stimulus would buy a pack of gum...sigh...inflation.

Fri, 09/14/2012 - 17:05 | 2797001 pawformation
pawformation's picture

"Despite a last minute surge (as stock indices lurched from their day-session open to closing VWAP levels), US equity markets extended gains but basically slid lower once Europe had closed"

Interesting spin but the reality is stocks were up on Volume. Zero Hedge=Glass ALWAYS 1/8th full

Fri, 09/14/2012 - 17:08 | 2797014 Yen Cross
Yen Cross's picture

I shorted "risk" last night. Stocks weren't up on volume !? They were up on " Bennie BUX". i just posted a " VIX" everything link!

Mon, 09/17/2012 - 01:16 | 2802338 MeelionDollerBogus
Fri, 09/14/2012 - 20:58 | 2797708 GernB
GernB's picture

Up on volume is one way to look at it. I would call it a spike in volume typical of some trend reversals. Basically everyone suddenly comming into the market leaving little to support follow through in subsequent days. 

Fri, 09/14/2012 - 17:23 | 2797053 cougar_w
cougar_w's picture

Okay ZH lurkerz time for a psychotic episode:


Sometimes crazy is just crazy -- and then there comes a time when crazy is the only way out.

Friday Fiction. At ZeroHedge.

Fri, 09/14/2012 - 17:45 | 2797143 CDSMonkey
CDSMonkey's picture

Credit spreads were actually tighter which is better measure of credit.

The treasury sell-off more interesting

Fri, 09/14/2012 - 18:18 | 2797249 September1st
September1st's picture



I noticed the treasury sell-off.  I would've thought that with the continuation of "twist" longer term rates would have held up better.

Reaction to the punch bowl being refilled with absinthe (risk on to infinity) or something more significant?

I wouldn't think that higher rates would be a welcome development for the fed?

Fri, 09/14/2012 - 22:09 | 2797847 IMA5U
IMA5U's picture

 High yield outperformed equities going into QE


A lot of new issues today


These write ups are quite misleading



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