Volumeless Levitation Sends Market To Closing High As VWAP Unchanged On The Day

Tyler Durden's picture

With volume in S&P futures more than 20% below average, the afternoon's rumor-mill managed to juice stocks to overnight highs, well ahead of credit once again and more than two standard deviations above the day's VWAP. Interestingly, today's VWAP and Friday's VWAP were within 1 S&P point, rather coincidental given the 2% swings from high to low to high during the day.

Notably we shifted from almost 2 standard deviations below VWAP at today's lows to over 2 standard deviations at the close - though notably little real auctioning shifts happened - as the solid dark blue line shows - with peak volume trading flat from mid-morning. The dark red line is the volume-weighted average price (VWAP) for today's action (and the dashed dark red horizontal line is the VWAP for Friday). The fact that heaviest transaction volume occurred at VWAP today and that is very close to Friday's VWAP suggests that so-called Mutual Fund Monday (inflows) were not really active.

ES managed once again to handily outperform as buyers appeared into the rumpr this afternoon - with HY credit remaining notably cheap to stocks, we should be seeing it outperform if risk appetite was really back. We also note the exact same behavior on Friday that reverted dramatically overnight.

Gold and Silver followed each other tick for tick and the former almost touched $1800 into the close as the USD leaked lower on the day.

For some balance, it is worth noting that broad risk markets were not as weak as ES during the day which likely meant that correlations were implicitly dragging stocks to the upside for much of the day (imply bias to buying from the algos). The CONTEXT model shows that ES tended not to drag broad risk lower and by the close we had reverted 'up' in ES to a more broad-risk-based perspective of what was fair (based on correlations).

All-in-all, an odd somewhat news-less volume-less day that seemed dominated by algos (for a change) as opposed to real risk appetite - even though HY actually some issuance (where concessions were very high). Intriguingly, we note that the rumors of something out of Europe started to appear as ES shifted to its most weak relative to broad risk assets (oh yes we are sure the whole European crisis will be over in 1-2 years!) and then was juiced by more 'news' at around 3pmET (wow, an EFSF structured credit vehicle with external buyers...brilliant!) - were 'they' starting to worry that they were losing control?

Charts: Bloomberg

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GeneMarchbanks's picture

The latest in a series of Short bans...

rosex229's picture

I really can't figure this out at this point. If you talk to any individual (in private that is, not on CNBC) whether they're a banker, politician, investor, hedge fund manager, etc. They will readily acknowledge the intense strengthening of severe downside risks over the last week. I mean look at Italy's yields! Are market participants waiting for the outcome of the vote tomorrow before fleeing? I have a sneaking suspician that even though most market participants see the writing on the wall their desire to make up some lost ground from recent losses is keeping them in the market until the very last possible moment.

redpill's picture

Just look at them yawning bands.  Bollinger?  I don't even know her!

DeadFred's picture

A double top at the 61.8 retrace of the recent drop. Sounds bullish to me. The whole universe according to the bots consists of charts and news feeds. They can't tell what's real and they don't care. Real people on the other hand should care but it's been so long since facts mattered that their memories are growing dim.

Richard Chesler's picture

A healthy and CONfident market.


Irish66's picture

Everything I open to use is smaller than it used to be, very annoyed

J 457's picture

Not only is it smaller than it used to be, it seems more wrinkled too.  Yes, very annoyed, but it comes with age.

Western's picture

Smelly turd of a market.

HedgeAccordingly's picture

Pictures of hot chicks should cheer us all up. - http://hedge.ly/gFWVSm

pods's picture

The only way to win is not to play.


GeneMarchbanks's picture

Or stop shorting because this is clearly some sort of a shorting ban.

EL INDIO's picture

Very wise man, very wise.

mynhair's picture

Was this not Mutual Fund Monday?

SheepDog-One's picture

The article says 'Apparently not'.

ZeroPower's picture

Watch us gap up big tomorrow. Problem's haven't changed, except rumor mill is working 10x as hard as the prior weeks it seems.

topcallingtroll's picture

It figures.

Just when I went all cash again.
I think Santa just arrived early.

GeneMarchbanks's picture

Mike "I went to jail" Milken: Get rid of fatty


and the markets will soar!

monopoly's picture

Just your standard Broken Markets. Nothing has changed.

Traianus Augustus's picture

Today's markets commit another crime...when does the punishment get here?!?!

topcallingtroll's picture

Yeah...I have had some good runs recently, but now may be time for doing the opposite of what I think.

If I am now a contrary indicator again it means;
Gold up
Risk on/reflation trade on
Dollar down.

Because I am all usa cash again.
My trades have been consistently wrong fall and winter....scary.

Caviar Emptor's picture

The "It's all Good" market ...

Just remember this: if bio warfare killed every human being, the market would edge up the next day because the bots would still be running...until the power plants finally shut down. Kinda beautiful, actually. 

you enjoy myself's picture

i'm starting to have that same mindset too.  in a detached, academic, bemused wonderment i'm now just really curious how long this nonsense can persist.  hmmm, you think a whole 'nother year?  yeah, that'd be really neat - reminds of when we saw that guy careening towards the cliff after hitting black ice.  he really went on forever.  crazy, right?  i know!

Oswald Spengler's picture

The music doesn't stop until the ship goes under.

Dick Darlington's picture

The unelected have spoken! Ugh!

11-07 16:03: EU's Junker says there could be a teleconference to approve... Coulda shoulda woulda...

11-07 16:03: EU's Rehn says new Greek government, once set up, must express... Oh, if it's in written then we all believe they will do all the things they didn't do since the first bailout 1,5 yrs ago...

11-07 16:03: EU's Juncker says EFSF will now consult markets to come up with... Mr "when things get tough I have to lie" apparently didn't see todays "consultation" with markets when the epic failure of EFSF printed undersubscribed (plus downsized with shorter maturity and once delayed) PLAIN VANILLA bond...


GeneMarchbanks's picture

Juncker, Rehn, Barroso, Von Rompuy, Merkozy, the Paps... neverending (shitty) story...

midgetrannyporn's picture

The consistent vwap thingie is definitely bullish.

bmusic's picture

It's amazing how well they are able to play the headline scanning algos.

bmusic's picture

It's amazing how well they are able to play the headline scanning algos.

silverserfer's picture

its like the algos are taking out the shorts in equities like JPM has been taking out the silver longs. its harvest time. Somebody up top ordered bear stew. So it will be bear stew for supper this winter.

mynhair's picture

"When AVL pops, I listen."

A C change is in the works.  Must be that Chinee tril going at it.

Mark123's picture

Did someone just depreciate fiat currencies?


Funny thing...over the last month S&P is up about 14% and Gold is up about 12%.  A beautiful symmetry?

SheepDog-One's picture

Yes, and equities are not keeping up with fiat depreciation, AT ALL. 

Alex Kintner's picture

This market is on Propofol.

lolmao500's picture

You know what's funny? Italy's budget vote that could lead to the fall of Berlusconi is tomorrow morning at 9.30AM EST... right on schedule for the stock market open.

It could be hilarious if Berlusconi falls.

youngman's picture

What politician would want the job of crashing the country....and his name attached....

LongSoupLine's picture

Central Banking...period.

NEOSERF's picture

Take this to an illogical extreme and there is no reason this market can't go to 15K by next Spring even with recessions, higher unemployment and a banking collapse...everything bad is simply an opportunity to clear volume out in the first few hours...

PontifexMaximus's picture

The market must climb the wall of worries, too many short positions around, can't fall of the cliff, needs to suck in the shorties. Berlusca will win confidence, but it won't change the big picture, time is running out. But big numbers first...

sabra1's picture

everyone keeps saying to many shorts around! bullshit! everyone i know is in cash, sleeping well at night, in their canadian homes, which are not in a bubble! HFT's are programmed to run through everyone's stops, short or long!

SheepDog-One's picture

Right, I know of no 'shorts' myself. This is just manipulation, a ton of longs stops are getting kornholed daily on 2% swings, theyre not doing jack shit either.

Mesquite's picture

The goal of the algos is to scoop up money...

That's the way I see it...

SheepDog-One's picture

Pontifex what 'big numbers'...like the inflation adjusted US market levels which are at about 1995 values now? If even that good? Not impressed.

Dr. Gonzo's picture

I just looked at the 1 year chart for the DJIA. It looks like a sick pig. AND I DON'T EVEN KNOW HOW TO READ CHARTS!!! We've moved 20% higher in 1 month after a 1 month 20% increase. Anybody who is prudent would RUN AWAY from this thing. I am of course shorting the shit out of it.