Reasonable volume but decidedly low average trade size suggests today creep higher (and late-day acceleration) to Friday's closing level for stocks and bonds was more dead-cat-bounce (DCB) than BTFD. Treasuries sold off notably but in context merely retraced 50% of the high yield to low yield range from yesterday. S&P 500 e-mini futures (ES) also retraced perfectly 50% of the high to low swing of yesterday and closed almost to the tick at Friday's closing price. The USD drifted very gently lower today (-0.08% from Friday) on Cable strength (GBP) and the ubiquitous post European-close rally in EURUSD. The late-day AUD strength was probably the most notable (just what ES needed to get the correlation-driven asset up to unch for the week). Oil bounced ebulliently off its disaster lows of yesterday with WTI now only -0.8% from Friday as Gold, Silver, and Copper are up around 1.5% on the week (though gold lagged a little today). High beta equity outperformed - Materials, Industrials, and Financials up 1.5-1.8% as the major financials managed decent bounces - though all remain weaker than yesterday's open. Notably JPM's stock popped 3% while its CDS drifted wider still ahead of Dimon's denouement tomorrow. Equities outperformed credit today once again but IG and HY did rally/squeeze into the close - though remain cheap/wide to stock's exuberance. VIX stumbled about 1.5 vols but remains above 22% as cross-asset-class correlations fell notably into the European close but picked up in the afternoon as risk-assets in general led stocks higher - rather surprisingly syncing to fair-value at the close.
ES managed to bounce perfectly to a 50% retracement and Friday's close...
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as did Treasuries...
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as average trade size (lower pane) continues to fall for ES...
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as Financials rallied significantly but remain well off the opening highs of yesterday...
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and the divergence between JPM (for example) CDS and stock is growing today...
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and ES managed to jump up to its broad risk-asset-based CONTEXT at the close as cross-asset-class correlations popped...
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So for now ES has run out of steam to drag it higher from other risk assets and the close at Friday's levels and perfect 50% retrace (along with low average trade size) have the smell of algos lifting for some better exits (and sure enough the last few minutes of the day saw average trade size pick up into the rally)...
Charts: Bloomberg and Capital Context