Amid the fourth heaviest volume of the year, Apple shares fell over 4% today - its largest single-day drop in six months (and largest two-day drop in 23 months) and GOOG also fell over 3%. This dragged the NASDAQ down but the S&P 500 (which was implicitly hurt by this major underperformance) managed to survive with relatively minimal damage close-to-close as the EUR repatriation drove TSY yields up and the USD down with correlations doing the rest to support stocks. Heavier volume and trade size came in as ES (the S&P 500 e-mini future) slid notably into the close though - almost 10pts off its afternoon highs and over 1% off its day-session opening levels (which were the highs). USD weakness accelerated rapidly after the European close - quite evenly distributed across all the majors but EUR weighed heavily as it retraced most of Friday's losses. The USD selling stopped around 130pm ET. The USD weakness supported some recovery from early weakness in commodities but the second largest compression in Brent-WTI in 16 months to around $15 - led by Brent more than WTI - on the Seaway reversal date being brought forward, was the biggest news in commodities. Silver ended unch and gold down modestly. Credit outperformed stocks on the day (and from open-to-close) but this seems as much credit-equity index arb as credit remains notably weaker. HYG stayed in sync with SPY today after we first noted the convergence on Friday (following the April asset allocation shift). After rallying early, Treasuries stabilized through the USD selling frenzy immediately post-European close but as the USD stabilized in the late afternoon (and AUD weakened) so Treasuries were oddly sold off (along with stocks) ending the day basically unchanged (after being lower by 4-5bps before the US open). VIX closed unchanged after opening lower and pushing to well over 20% at its worst - as 19% seemed to support it as we rallied in the afternoon. ES tested above its 50DMA once again and closed back below it on a relatively heavy day with very low average trade size.
AAPL traded back in line with the entire retail sector's market cap for the first time in a month, broke its 20DMA for the first time in four months, and fell the most in six months today. There was little sign of opportunistic dip-buyers as it leaked lower all day...
and largest 2-day drop in 23 months...
Financials outperformed as the majors recovered some of their losses from Friday but on low volumes - the US majors equity prices though remain considerably expensive relative to credit still...
Broadly speaking, credit markets outperformed open-to-close relative to stocks but remain significantly cheap (worse) and so this is not surprising. HYG remains in sync once again with the S&P but a little rich to its fair-value and the high-yield credit spread market.
Brent-WTI was the story of the day in commodity land as Brent compressed dramatically relative to WTI...
But perhaps the most notable moves of the day were in the 90 minutes after the European close when the USD was sold aggressively and EUR and GBP bought as chatter of repatriation flows was rife - which also fits the cessation of that selling once Europe had left for the day...
The EUR/AUD strength and JPY stability supported FX carry but the Treasury selling post 130ET drove correlations to support stocks as is evident here in the shift up in CONTEXT (our broad risk asset proxy) in black relative to stocks (after equities slid back to the lower reality early on risk assets in general)...
VIX opened low relative to its equity/credit fair-value but shifted higher and oscillated around ending near that fair-value around 19.6 by the close...
Charts: Bloomberg and Capital Context [16]








