Despite miraculous efforts to find the right fulcrum security to pressure stocks into the green for the day, equities end the day notably in the red after cracking (once again on heavy volume and large average trade size) into the close. Reverting as usual back to VWAP, the market was typically manic today with two significant QE-on pushes (Treasury yields lower as Stocks/Gold rallied with USD weakness) after the better-than-expected 30Y auction ended badly for stocks (as Gold held its modest gains up above $1570) as it reverted rapidly back down to bond's reality into the close. Once again very close to record low yields in Treasuries - with 30Y yield down over 10bps on the week. Initial bids under Silver (which reverted up to perfectly sync with Copper on the week) and then WTI (over $86, post further sanctions) provided some correlated excitement for stocks but it was clear once again that the low volume liftathon was an exit opportunity for bigger players with financials and tech notably underperforming as there was heavy rotation into the safety of Utilities, Healthcare, and Staples. Vol selling was back in vogue as VIX managed to trade lower on the day despite the negative day in stocks - only to jump back and end +0.4vols at 18.3% with a 7.5pt loss in stocks. Cross asset class correlations jumped back up notably and broad risk assets and stocks traded along with each other all day - with the S&P's late day romance with bullishness cut off in its prime by the reality of VXX (and HYG's leak back). Average volume and average trade size on the day in aggregate but the European close rally monkey just ran out of steam as 'size' stepped in to move ES down to its 50DMA and the Dow near its 200DMA to ends it sixth down day in a row.
VWAP reversion - you gotta love the efficiency of markets... The dump, the auction 'tickle-algo' back up above VWAP and the heavy dump back down to close... as elegant as a Russian weightlifter doing gynmastics
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The QE trade seemed de rigeur today (or more likely algos just adjusting to the new regime) but stocks realized the folly of their ways into the close as gold maintained a bid (safe haven?)...
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and commodities had quite a day - leaving gold the underperformer on the week...
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and across asset classes - correlations picked up very systemically (lower right) as is clear by the relationship between CONTEXT and ES in the upper right on the day. VIX remains notably cheap copmpared to credit/equity fair models (lower left) and the late day exuberance in SPY (upper left) was ignored by our VXX/HYG/TLT model to which it kindly reverted into the close...
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as the major financials have given up all of their post EU Summit gains and then some - but we do note that XLF (the financials ETF) remains an outperformer - we suspect that will not last...
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Charts; Bloomberg and Capital Context [10]