Today was special - full-retard kind of special - as the S&P 500 e-mini futures (ES) did a double-dip deja vu move extending the series to seven days in row of early buying and late selling as ES closed at new cycle lows and a plethora of other asset classes all dropped aggressively to multi-month records. Credit markets remain the indicator for weakness and while JPM's exaggerated the moves, bear in mind that IG credit is only correcting back to where its underlying names have been trading (forced rich - too high - by JPM's previous actions) and the late-day sell-off dragged stocks down near to convergence. Some early stability in IG9 provided a quiet rally in financials but as the afternoon began the selling restarted in the credit index (which pushed to new cycle wides - despite the skew collapsing - as momentum is in charge now). Commodities slid on USD strength and liquidation pressures as we note Gold held in well (better than its peers) until the last hour or so (which has the smell of margin/collateral calls). Equities recoupled with Treasuries today after 3 days of exuberance (again).
S&P 500 e-mini futures continues their downward progression...
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Buying ES at the day-session open and exiting athe European close; then selling at 2pmET and exiting at the US day session close has been a very profitable trade the last week or so (8 winners of 10 trades with huge positive skew on P/L)..
Credit leads stocks lower...
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financials ended the day -0.5% but we note JPM managed some small gains - which has the smell of an RV trade against XLF - as the rest of the TBTFs all dropped further with Margin Stanley now -6.5% YTD...
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but financial stocks remain 'exuberant' relative to the consistently correct credit markets...
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and commodities continued to slide...
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Equities recouple with Treasuries...
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the rest of the market was just plain ugly...
- IG credit widest since first week of Jan - 4 months
- HY credit at YTD wides - now unchanged YTD
- HYG (the high yield bond ETF) only back to one-month lows
- USA protection is at 4 month highs
- S&P 500 cash is at 3 month lows - only 6.6% off highs
- VIX is closing at 4 month highs
- USD (DXY) is just shy of the year's highs which would take us back to September 2010 highs
- EURUSD is at 4 month lows holding the 1.27 handle for now.
- 30Y TSY at 4 month low yields with a 2.91% handle
- 10Y TSY at 7 month low yields with a 1.75% handle today
- WTI at 5 month lows holding above $92 handle for now but a break takes us to early November levels
- Gold is unchanged YTD now - modestly above the 12/30 swing lows which would take us back to July 2011 levels
- Silver is unchanged YTD now
- Copper in unch YTD and at around mid Jan lows.