Stocks opened around 2% gap higher this morning after the late-night headlines from Europe made many think that the tooth-fairy and Santa are real once again. S&P 500 e-mini futures saw some selling into the open but then stabilized amid a very narrow range for much of the rest of the day - leaking higher on low volume-driven short-covering. The news from Germany of ESM ratification was greeted with absolutely no price movement as an indication of just how insane things are but the need to drive stocks up in the last few minutes was crazy. Into the close, volume exploded as ES rose 10pts in minutes from absolutely nowhere. Average trade size was very heavy during this period and delta skewed notably to block selling into the ramp though it is never that obvious. ES closed above its 50DMA back to its highest since 5/8.
The Window-Dressing Roadmap
It would appear that the No 'New' QE from the FOMC on 6/20 left a lot of all-important funds long-and-very-wrong. Today's rampfest miraculously lifted (window-dressing) Energy and Financials (two of the MOST sensitive sectors to QE) back to perfectly unchanged from the exact time of the FOMC announcement. Notably, since that exact time 'safe' sectors of Staples, Healthcare, and Utilities have outperformed as Tech, Materials, and Discretionary are underperforming (though all did their very best to end the month up (especially relative to the FOMC news moment)... fascinating eh?
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Stocks were on their own with the last 10 points or so of the day as USD, Gold, and Treasuries all started to point south into the close (orange oval)...
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Everyone enjoyed the day's window-dressing escapades aside from JPM which dropped 3% from its opening levels and closed in the red. This chart is performance from the open of today...
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While stocks exuded every bit of total insanity, Treasuries ended the week lower in yield across the whole complex (leaving Gold, the Long Bond, and the USD all almost perfectly +2.8% YTD). WTI is down 14.5% YTD to close Q2 thanks to a huge VW-like 9% squeeze higher today (that acounted in correlated risk terms for around half of equity's performance) up to around $85. Equity and HY credit have recoupled but HYG is the most expensive relative to its fair-value in over a month. The USD plunged on EUR strength (and AUD carry trades) to end the week -0.66% but Gold and Silver more than doubled those implied gains ending the week +1.8%. VIX tested below 17% late on but ended above it (down 2.6 vols) closing at 6/20 closing levels. The main takeaway is that most risk assets recovered to last week's highs but stocks turned the amplifier of insanity to 11 and pushed back to near two-month highs not to be outdone into quarter-end (wink wink).
Broadly speaking risk assets lost ground on the quarter with only the long-bond and USD up from 3/30. Interestingly, the Bond, Gold, and USD are all perfectly in line as we close Q2.
Equities surged above last week's highs into the close as a combination of stop-runs and algos looking to tickle us for large block order exits (the blue bars in the chart) made the day just that little more exciting...
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but WTI was the winner of the day in terms of multiple-sigma moves...
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The S&P just had its best June since 1999 - makes perfect sense for all those funds that needed a good quarter...
now for the implementation of that 'save-europe' plan...
Charts: Bloomberg