Do you believe in miracles? Well, all those managers who were long the QE-sensitive darlings of Financials, Materials, and Consumer Discretionary into the month can breath a collective unchanged sigh of relief - thanks to last week's Draghi drag higher. The Energy sector managed a stupendous 4.9% gain on the month. The S&P 500, Dow, and Nasdaq all finished about 1-1.4% higher on the month (while Dow Transports ended -2.3%) as we came close to some Hindenberg Omens in the last few days. Today's market felt like the start of a sell-the-news day as we leaked back to the edge of the Friday cliff in S&P 500 e-mini futures (ES) - with an after-day-session-close snap down to catch-down to where risk-assets had broadly been biased all day - amid huge volume (leaving ES below its recent swing highs and Fibonacci levels). Commodities generally slid lower but WTI led the way ending down over 3% from Friday's close. Gold, Silver, and Copper all slid even as USD slid lower too. Treasury yields fell back retracing about half of the post-Draghi sell-off. VIX ended testing 19% into the close, up almost 1vol as the term-structure flattened ahead of the events of the next couple of days. The massive rip in volume at the close (and 5pt drop in ES) suggest plenty of short-term exits ahead of the fun-and-games of the next two days and certainly Treasuries were sending similar derisking signals.
Major end-of-month volume flush at the close to leave ES at the cliff's edge once more... the 150,000 ES contracts in the last 2 minutes of the day-session equates to around $10.3bn notional - not bad eh?
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and on the month...
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and sectors were saved by last week's rip...
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but today seemed like a reversion day in commodities as they WTI, Gold, and Silver all converged lower into month-end - though managed to close higher.
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but stocks generally reverted lower to catch up to the general derisking in risk assets today...
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and across asset classes, Treasuries outperformed and stocks and gold basically recoupled after two disconnects...
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We can only assume so many were wrong-footed into uber-bullish positions post the EU Summit that there was some serious window-dressing needed to recover from a nasty month.
Charts: Bloomberg and Capital Context
Bonus Chart: GLD has seen no positive inflows since 6/18 and yet GLD prices have risen during this period with July seeing redemptions of about 10,000 shares...
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Bonus Bonus Chart: Financials were extremely widely dispersed on the month from BofA -10.5% to Goldman +5.3% with the XLF (Financials ETF) up a measly 0.2%...
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