Despite a last minute surge (as stock indices lurched from their day-session open to closing VWAP levels), US equity markets extended gains but basically slid lower once Europe had closed. The day session opened gap higher as Europe extended (though Spanish debt slumped) and rushed out of the gate to new multi-year highs only to stumble on high volume and large block size into the European close. Also notable that VIX - which had tracked stocks from the QE3 announcement, began to push higher as stocks 'capitulated' up in the high 1460s and then stocks rolled back downhill for the rest of the day. VIX ended the day up 0.5vol at 14.5% while ES closed up 8pts. Equity sectors have split into 3 groups from the FOMC statement - Materials/Energy/Financials +~3.5%, Industrials/Discretionary/Tech +~2%, and Healthcare/Staples/Utilities +~0.5%. The USD lost 1.65% on the week (EUR +2.3% and JPY -0.18%) as Treasuries saw some vol but were basically one-way street with the long-bond +26bps, 10Y +20bps, and 5Y +6bps. Commodities outperformed USD-implied moves with Oil/Silver/Gold all up around 2-3% on the week - while Copper surged overnight to gain just under 5% on the week. Credit markets were less exuberant than their tracking stocks yesterday with HYG ended the day red.
S&P 500 e-mini futures surge out of the gate (from the US open) and were sold into by some bigger volume blocks... we fell to lows of teh day - which were the opening day-session level and then pushed up to VWAP to close neatly...
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Protecting Gains? VIX notably underperformed today and stocks felt pressure once the retail orgasm hit this morning (and some capitualtive volume ran through into the European close)...
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but sectors seems extremely trifurcated...
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FX markets were very dispersed bythe end of the week with EUR winning and JPY losing (as carry trades were extended)...
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but commodities outperformed the inferred USD weakness - with Copper spurting overnight...
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Treasuries were prety uch offered all week - with some vol in the last two days but between inflation prints and risk-on, it was hard to keep rates down - even for the great Oz...
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which we note saw rates moving as much as MBS spreads compressed - kinda removing a lot of that 'this is for main street - housing is saved - low mortgage rates' chitter chatter we were fed.
Risk assets in general played catch up overnight with further FX carry strength and Treasury weakness dragging CONTEXT (our risk-asset proxy) up to Stocks. Correlation resurged and risk and stocks generally tracked well - though the end day push in Stocks seemed more about bouncing from S&P 500's day-session open to its VWAP and CONTEXT than any real buying pressure (and in fact - the deltas - based on bid-side vs offer-side - suggest this more selling into the pump than buying but who knows anymore...)
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Charts: Bloomberg and Capital Context