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Worst Volume In A Decade As Stocks Eke Out Small Gain

Tyler Durden's picture





 

The NYSE volume today was abysmal. According to BBG data, this was the lowest volume day in over a decade and even compared to other July 1st (or holiday weeks) this was the lowest volume print. Average trade size for the S&P 500 e-mini futures was also very small - almost the lowest of the year as low volumes and the narrowest high-to-low range for ES in over two months still managed to hold on to small gains for the day. In the face of this relative exuberance, Treasury yields dumped down 5 to 6 bps across the board remaining the most cognitively dissonant of risk assets on the day. HYG underperformed (as HY and IG credit indices were very quiet and reracked along with ES for most of the day). HYG did end Friday notably rich to intrinsics so this makes some sense but is unusual for a positive close in ES (as we note that 16 of the 24 times in the last year that HYG has closed red and SPY closed green, SPY has gone on to lose more in the next few days). EURUSD lost quite a bit of ground (again seemingly ignored by US equities) as USD rise 0.35% from Friday's close (albeit with AUD rallying modestly along with JPY). Oil retraced almst 50% of its spike gains from Friday but then pushed back up over $83.50 into the close and while Silver and Gold flatlined ending practically unchanged, Copper also lost a little ground (2x beta of USD) on growth slowing from China's data we assume.As with pretty much any rally, financials, energy and tech were the higher-beta winners all gathered perfectly correlated around 0.6% gains on the day (but we note that JPM and Citi remain negative from Friday's opening print). VIX ended the day below 17% (down a measly 0.25 vols) - its lowest close in two months - and while implied correlation managed to make modest gains (to around 65%) risk assets in general were only moderately correlated as equities outshone CONTEXT on the day.

The black dotted line is the decade long average NYSE trading volume for each day and orange is this year's volume - as can be seen it is well below average and well below the worst also (red line)...

S&P 500 e-mini futures basically dumped on heavy volume around the ISM print and then leaked back to pre-ISM levels by the close (and back above VWAP) as we assume the bad-is-good crowd are back in town - though it is clear that particpation was very limited...

 

Treasury yields fell notably early on and only recovered modestly as stocks and gold seemed to support one another most of the day in a world of their own...

 

A last minute scramble for HYG exposure (where notably HYG and JNK had high volume days today) lifted it up to around where SPY was trading after it leaked off all day in the arb trade (since it is still notably rich to its underlying index names - lower pane)...

This leaves stocks once again a little expensive relative to HY credit (based on our simple model) after they reconverged a week or so ago. Friday's notable equity outperformance and today's divergence have increased the divergence between the two markets quite notably (which suggests if you are bullish Buy HYG, if Bearish sell SPY for better value)...

Broadly speaking, stocks outperformed risk assets proxied by CONTEXT (as Oil and Treasuries dragged risk off more than carry helped) - but correlation picked up into the last few hours...


Charts: Bloomberg and Capital Context

 


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Mon, 07/02/2012 - 16:35 | Link to Comment HaysJeanine
HaysJeanine's picture

 A frieend's mother makes $84 hourly on the computer. She has been out of a job for 7 months but last month her pay check was $18729 just working on the computer for a few hours. Read more here  www.MakeCash.com

Mon, 07/02/2012 - 16:38 | Link to Comment SilverTree
SilverTree's picture

Self Terminate.

Tue, 07/03/2012 - 00:27 | Link to Comment The Monkey
The Monkey's picture

Volume is overrated. There is nothing in today's action to suggest the push upward will not continue.

Mon, 07/02/2012 - 16:41 | Link to Comment Crispy
Crispy's picture

How many dicks does she suck to get that?

Mon, 07/02/2012 - 16:44 | Link to Comment veyron
veyron's picture

Hummers are usually 20 bucks a pop.  Do the math.

Mon, 07/02/2012 - 16:52 | Link to Comment fuu
fuu's picture

936.45

Mon, 07/02/2012 - 17:13 | Link to Comment camaro68ss
camaro68ss's picture

thats a high volume of hummers

Good for her!

Mon, 07/02/2012 - 19:36 | Link to Comment Likstane
Likstane's picture

Assuming her last months salary is average, we can deduce her 7 month total pay is 131,103 FRN's, for a total of 6,555.15 hummers performed.  This equals 24.28 hummers a day.  Assuming regular sleeping habits(8hr/day), this means she is performing roughly 1.5 hummers every hour of every day for 7 months straight.  While it seems theoretically possible, the logistics to schedule the hummers and the wear and tear on your friends mother's hummerizer make this claim improbable, if not impossible.  I call bullshit.

Mon, 07/02/2012 - 18:40 | Link to Comment Winston Churchill
Winston Churchill's picture

18729.

Mon, 07/02/2012 - 16:45 | Link to Comment slewie the pi-rat
slewie the pi-rat's picture

volume will be low all week one might think...

i've already given everyone the whole week off

with pay

Mon, 07/02/2012 - 16:52 | Link to Comment yabyum
yabyum's picture

Thanks Slewie!!!

Mon, 07/02/2012 - 16:52 | Link to Comment knukles
knukles's picture

 

 

Modern Fiancial Krugmanomics*

Bonds: Yields down prices up
Stocks: Volume down prices up

* As approved by Ben, Brian Sackand that twirp from the SF Fed.

Mon, 07/02/2012 - 16:53 | Link to Comment ebworthen
ebworthen's picture

Hey slewie, what a coincidence, I gave myself the week off too, with a full provision of Grog and hard tack (er...beer and burgers?).

The local WalMart was cleaned out of hamburger patties, hot dogs, and buns shortly after midnight yesterday.

Correlation?

Mon, 07/02/2012 - 16:59 | Link to Comment yabyum
yabyum's picture

ebworthen, you went shopping at the first of the month? At Walmart? When all the snap cards load...what were you thinking??

Mon, 07/02/2012 - 18:35 | Link to Comment ebworthen
ebworthen's picture

Just doing research; already had my Angus 80/20 ground and Wonder seasame buns ;-)

Low volume equities, high volume snap cards....hmmm...

 

Mon, 07/02/2012 - 16:49 | Link to Comment scatterbrains
scatterbrains's picture

so volume says anything over 1300 /es the NYfed can have.. 1200 maybe folks will sniff around 1100 ok lets have a look, 1000 maybe nibble on a few prospects. 900  start tilting the asset mix out of 1 month T's and ease in to stocks 800 maybe bump the mix to 30% equities, 700 = 40%, 666 = 50% and so on and so forth but 1300?  you can have it all mr. NYfed man.

Mon, 07/02/2012 - 16:50 | Link to Comment ebworthen
ebworthen's picture

Lowest volume in a decade?

I'm sure it has nothing to do with J.P. Morgue, or the flash crash, or 1998-2008 nowheresville, or CORZINE.

*cough*

Mon, 07/02/2012 - 16:53 | Link to Comment knukles
knukles's picture

Hey!
Gechur finger off my testes, Jon....

Mon, 07/02/2012 - 17:33 | Link to Comment fuu
fuu's picture

Testy, testy.

Mon, 07/02/2012 - 18:54 | Link to Comment knukles
knukles's picture

LOL:)

Mon, 07/02/2012 - 16:50 | Link to Comment OutLookingIn
OutLookingIn's picture

There are NO markets anymore.

Just interventions with manipulation in mind.

Anyone foolish enough to play in the Wall Street casino get what they deserve.

A fool and his money are soon parted.

Mon, 07/02/2012 - 16:52 | Link to Comment Bansters-in-my-...
Bansters-in-my- feces's picture

Don't worry about the markets not making money today,the Chemtrail buisness is doing fine. Spraying constant today so profits should show up on the books soon. By the way,WHO is it that is making all this money off of the Chemtrail buisness...? And why do most the sheep not notice...???

Mon, 07/02/2012 - 16:57 | Link to Comment Jena
Jena's picture

Banksters asks: "And why do most the sheep not notice...???"

My guess is that they would have to look up to see.

Mon, 07/02/2012 - 18:39 | Link to Comment Savyindallas
Savyindallas's picture

I am amazed at the level of spraying in the Dallas area. What the hell is going on? I would love to get some kind of rational explanation.

Mon, 07/02/2012 - 18:52 | Link to Comment knukles
knukles's picture

Thar' a fixin' that there ecoligy thingambobjigalig fer us un's.

Mon, 07/02/2012 - 16:54 | Link to Comment yabyum
yabyum's picture

Look there is a holiday in the middle of the week. The fires out west, the heat back east and  the drought over the midwest have the people in a funk. You will be lucky to arouse anyone this week.  Disclosure: Long cold beer and bamboo flyrods!

Mon, 07/02/2012 - 16:56 | Link to Comment YesWeKahn
YesWeKahn's picture

This simply means that RobotTrader girl isn't selling. She is waiting for a double of her SPY purchase.

Mon, 07/02/2012 - 17:21 | Link to Comment augustusgloop
augustusgloop's picture

please god no. i just can't stand to see the gold - silver takedown queued up before they show his countenance on the screen. It's creepola,  like showing Erich Honecker after the grain report & the obligitory phalanx of reapers on Deutscher Fernsehfunk (OK Maybe I'm imagining it). But there seems to be a high correlation between the frequency of testimonials and our proximity to the collapse. 

Mon, 07/02/2012 - 19:42 | Link to Comment bnbdnb
bnbdnb's picture

Short AU that morning.

Mon, 07/02/2012 - 17:25 | Link to Comment Bam_Man
Bam_Man's picture

Most of the robots have been given the week off.

Mon, 07/02/2012 - 17:40 | Link to Comment Bizaro World
Bizaro World's picture

Nah - Northeast power outage....put the robotraders on the fritz....up and running tomorrow.  You on the other hand need to work so you can afford your new healthcare tax, I mean penalty, I mean hand out, I mean...what are we talking about again?

 

BW

Mon, 07/02/2012 - 17:29 | Link to Comment Turin Turambar
Turin Turambar's picture

The robots might have the week off, but the interns over at the Fed were propping up spy futures shortly after release of the ISM numbers.  Fortunately for them, volume was light, so today the Fed "saved" money.  LOL

Mon, 07/02/2012 - 17:30 | Link to Comment Aunty Christ
Aunty Christ's picture

Disappointed that these guys that provide the daily commentary totally whiffed on the fact that HYG went ex div today and actually performed in line with SPY...

Mon, 07/02/2012 - 17:47 | Link to Comment dcb
dcb's picture

I don't have a model, just draw the trend lines bit confused, but if you entered a short on the close it should pay off. I don't really trade s and P, but the financials snd we are in my target short. I don't like the huge jumpst up, and recall that last fall, very hard to trade. longer term if you bought on that jump, you made mopney but always lost early on. so the key was to sell your legacy assets on the jumot (or a good % of them, and then put limit orders with increasing size on the way down.

europe jumped eacdh market and I got caught short a lot.

I want to make a complaint to zh about a comment today I saw. it may not be this tyler, but it said what do bonds know that stocks don't.

you do all this rep[orting on financial repression, how th fed sells unlimted puts, etc. bonds don't know anything anymore. I used to use the bonds as a signal to buy and sell. they can't be used anymore (long term treasureies). it's a joke. The bernake wants everyone in stocks, but he has destroyed the signals one uses to buy stocks.

I was lucky I made some good buys before this stupidiy stopped and I'm not sure untill fininicial collapse I will see treasures as low.

 

I trade long short, long regular markets short inverse, with a sort of swing trader feel. I want to buy long term, but when it's over valued and I don't want to sell I have the inverse.

 

if you trade tbt, it's a joke. I made a bad buy mistake teh other day, still made the profit. when it was up link yeasterday time to sell. I bought on the way down, with a buy below last weeks lowest low. (you should alwyas do this, not too much below)

because it's so manipulated and I really don't get a buy signal for stocks I don't buy them. I trade them, but the bernak doesn't undersatdn he has destroyed all real investment signals.

 

it will always go down where they have the printing press unless there is a revolution.

Mon, 07/02/2012 - 19:06 | Link to Comment Lokking4AnEdge
Lokking4AnEdge's picture

"TVIX" ended today 15% below NAV...very unusual...anyone has a clue why?

Mon, 07/02/2012 - 19:13 | Link to Comment Beam Me Up Scotty
Beam Me Up Scotty's picture

VXX tanking all week too

Mon, 07/02/2012 - 19:44 | Link to Comment bnbdnb
bnbdnb's picture

Just more manipulation to stop people from shorting.

Tue, 07/10/2012 - 20:11 | Link to Comment Turin Turambar
Turin Turambar's picture

TVIX is broken.  CS stopped issuing shares regularly a few months ago, so it usually carries a premium.  On the off chance CS begins to reissue shares, the NAV gap will close, i.e. your premium will disappear and TVIX will fall even further. 

If you insist on trading a product like TVIX, you're better off sticking to UVXY.  It more closely performs like it's supposed to.  A good ballpark is 2x VXX % performance daily.

Tue, 07/03/2012 - 03:13 | Link to Comment the hopeful bear
the hopeful bear's picture

on bbg i see that the SPX volumes for June 18th were lower than ydays (541.2mio vs. 544.9)?

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