While Silver had a better week than Gold (+5.4% vs 4.3%), Gold managed its biggest gain in three months as the Fed's QE-ness seemed to separate the precious metals from other asset classes. Oil underperformed relative to the USD's weakness (-2% on the week in DXY) managing only a 1.3% gain (and ending below $100). Silver and Gold have no managed four weeks in a row of gains as the latter has more than retraced half of the all-time high sell-off range. With 5 minutes to go, NYSE volume was -32% from yesterday, by the close of the cash markets it was only down 2.5% leaving the week -10% from last week (so 32% of the day's NYSE volume was done in the last 1.3% of the day). In credit, HYG underperformed stocks, HY credit stayed synced with stocks and IG outperformed (touching 100bps as we closed). Treasuries ended the day (and week) at their low yields with 5s to 10s all lower by around 14bps on the week and 30Y rallying to -4bps on the week by the close. FX markets were a little odd as EURUSD squeezed higher and higher all day (largely ignored until a late ramp) by stocks as JPY's strength kept EURJPY (carry driver) relatively flat. EURUSD ended at 1.3227 (up around 300pips on the week) at its highest in 7 weeks as CFTC net shorts rose once again to new record highs at 171k. Broadly speaking risk assets and ES (the e-mini S&P 500 futures contract) have been highly correlated all week. This afternoon saw CONTEXT pull ES higher (mainly on EURJPY strength, and Oil stability versus TSY/Curve compression) but after the cash market close, ES limped back down to its VWAP to end its worst-performing week of the year (+0.15%) though not down (which we are sure would scare investors away) as stocks handily underperformed credit on the week as high beta starts to unwind.
Weekly change in the major economically sensitive commodities.
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Intraday changes on the week in commodities - Silver putting in an incredible rise of more than 7% off its lows on Wednesday.
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VWAP played an important part in today's ES price action in stocks (as it always tends to) but the reversion and rejection has the smell of institutional sell orders need to grind the market up to sell into and each time we touched VWAP, average trade size increased and selling immediately occurred. The afternoon surge seemed more about catching up to EURJPY (more EUR) strength but once we hit unchanged, sellers came back in size once again.
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Financials managed to surge up in the last hour to save their week (ending the week practically unch - though some of the majors looked very different and CDS has started to widen). Materials outperformed (QE?) and Staples underperformed on the week.
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Charts: Bloomberg and Capital Context [9]