It seems everyone has positioned for what is to come as today was blah. The volume on the NYSE was decent which is expected given the OPEX but trading in the e-mini S&P futures contract (ES) was dismal - lower even than the 2/6 and 2/13 low levels at what looks like the lowest non-holiday trading day since 2006. A very narrow range day (basically from last night's day session close) with a small pop this morning around the day session open saw the highs of the day but ES tried to inch back up there in the afternoon - as credit (IG, HY, and HYG) went sideways from after the European close. Financial and Discretionary stocks outperformed as XLF made new recent highs (while credit spreads remain near 5 week wides). VIX futures tracked stocks for the most part (with a slight push higher into the close) but implied correlation diverged (bearishly) higher. FX markets were relatively calm with in EURUSD with AUD and JPY (-2.5% on the week) weakness the main drivers of USD strength off European session lows - but USD ended the day practically unch (+0.5% on the week). The USD strength dragged Silver down over 1% on the week and Copper down 3.8% (biggest loser today) while Gold outperformed the USD and ended green on the week above $1720. Oil was the winner up almost 5% on the week - its biggest gain of the year - ending above $103.5 for WTI. Treasuries came back off their high yields of the day after Europe closed with a little more push into the close leaving 30Y unch for the week and the short-end +3-4bps.
[5]
Credit did nothing all afternoon (post Europe's close) while stocks limped quietly higher on ever decreasing average trade size...
[6]
...but implied correlation bucked the risk-on trade as despite a falling VIX (which limped along with stocks on this OPEX-ridden day), saw macro protection in more demand than micro. This has tended to be a tell for short-term reversals in trend (not the earth-shattering changes that credit and financials are signalling).
[7]
Treasuries reverted back to around unch with a slight flattening on the week.
[8]
FX (like credit) was very calm today except for AUD and JPY weakness.
[9]
WTI outperformed Brent today after they tracked one another relatively well all week.
Charts: Bloomberg