S&P 500 e-mini futures (ES) traded up to almost perfectly recapture their 415ET close from last Friday after a 15-point, 30-minute ramp out of the gates at the US day-session open recouped five days of losses - as once again - we go nowhere quickly. Just for clarity: China GDP disappointed and provided no signal for massive stimulus; JPM announced bigger than expected losses, cheating on CDS marks, and exposed just how large their CIO was relative to income; Consumer sentiment printed at its worst this year; and QE-crimping inflation printed hotter than expectations - and we get a more-than-30 point rally in the S&P. Whether the fuel was JPM squeeze or another big European bank biting the liquidity dust and repatriating cajillions of EUR to cover costs (or Austria needing some cash for a debt payment), what was clear was equity market's outperformance of every other asset class - with the late day surge for a green weekly close particularly noteworthy. Apart from unch on the week, ES also managed to close right at its 50DMA, revert up to credit's more sanguine behavior intra-week, and up to VIX's relative outpeformance on the week (as VIX ended the week with its steepest term-structure in over 4 months). Treasuries ended the week 6-9bps lower in yield at the long-end (2-3bps at the short end) but the USD's plunge, on the absolute rampfest in EURUSD, took it back to unch for the week. Despite the USD unch-ness, Oil and Copper surged (on the day to help the week) up 2.5-3% on the week while even Gold and Silver managed a high beta performance ending the week up around 0.5%. ES ended the day notably rich to broad risk assets - and wil need some more weakness in TSYs and carry crosses to extend this - for now, the steepness of the volatility slope, velocity of squeeze, and richness of stocks to risk makes us a little nervous carrying longs here.
Credit markets have been more sanguine this week and it appears today's open was a crack wider in spreads to catch-down with stocks which then enabled the two markets to auction higher all day - with stocks (as they always tend to) over shooting at the close...
And also stocks catching up to the ever-present short-dated vol-selling rally-monkeys...
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which left VIX with its steepest term-structure (short-dated vol the most complacent relative to long-dated vol) in four months...
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leaving equities on their own today - against HYG/VXX/TLT (credit/vol/rates) in the upper left; and broad risk assets (upper right)...
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FX markets were chaotic...with today's mega-gap up (down on the chart) in EURUSD extremely evident...
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but commodities accelerated from the middle of yesterday...
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and while the Dow Industrials, Dow Transports, and the S&P 500 cash indices all closed very marginally green on the week, the NASDAAPL ended down 1%...
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For a sense of where ES traded this week, we note that the VWAP from Sunday's open is 1337.5 (that is the volume-weighted average of every trade done this week in ES) from a Friday close at 1352.5 to today's close at 1352. The USD also closed the week unch but Treasuries rallied as did Oil, Gold, and Silver - quite a week.
Charts: Bloomberg and Capital Context [13]
Bonus Chart: It would be remiss of us to not point out the biggest jump in JPM in almost 4 months on a big surge in volume - closing in on its 200DMA and longer-term resistance...
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and while CDS has squeezed tighter for JPM, it is still not quite as exuberant as the stock was today (suggesting the stock is around $1.50 rich at the moment)...
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