US equity markets went sideways to higher after the European close on low volumes and minimal support from broad risk drivers in general (with SPX bouncing off 1300). HYG tracked ES (the e-mini S&P 500 futures contract) higher as it tried to get back to unchanged (during an afternoon of notably smaller average trade size until the close which suggests covering by bigger players). HY and IG credit markets were not as ebullient as stocks and into the close HYG sold off relatively well to catch back down with HY's weakness on the day. Treasuries, credit, FX, and commodities all closed near the middle of the day's range while ES managed to get back near its highs (with volumes down 15% from Friday and near the lowest of the year so far). Financials underperformed once again (as Tech was the only sector in the green by the close). Treasury yields helped support some of the rally in the afternoon in US equities as 30Y shifted from -11bps to -5bps by the close but overall Treasuries outperformed (stocks should be down more on a beta basis given bonds move). JPY was the outlier today, stronger vs USD by 0.46% from Friday while elsewhere in FX, the USD (+0.4% from Friday) lost some of its gains against the majors after the European close with EURUSD back above 1.31 by the close. Gold (with its pending death cross to match SPX's golden cross) just outperformed its commodity peers (with oil close behind) though they all lost ground as USD strengthened with Copper and Silver underperforming. VIX gained about 1 vol from Friday but leaked lower by around 1 vol from its opening peak above 20.
[4]
Stocks (blue) outperformed with the late day volumeless surge the key once again. HYG rather notably (green) sold off into the close (and has been an interesting tell when it has done that recently for risk appetite).
[5]
Treasuries managed to sell back (yields increase) after the European close and were the main driver (correlation-wise) of stock strength - though FX's move kept CONTEXT [6]more anchored. The curve flattened with 30Y outperforming but managing to get back above the 3% yield mark right at the close.
[7]
A small rally in oil (-0.6% from Friday) and slow leak in FX carry (AUDJPY more than EURJPY) did help CONTEXT a little but the correlation between 10Y and its curve balanced CONTEXT while helping ES rally. Correlations dropped off precipitously into the close.
[8]
The USD strength seemed to put a little high beta juice into the sell off in commodities today with only a small comeback in the afternoon as the USD limped lower. Gold outperformed (holding around $1730) as everyone anxiously awaits the Death Cross to occur (with whimper not a bang we suspect) later this week.
[9]
Charts: Bloomberg and Capital Context [6]