With bond-traders amiss - no doubt all celebrating the indigenous people of our great nation - volumes were dismal and so was any evidence of a BTFD mentality in risk. AAPL, amid the biggest three-day slide in almost six-months, saw pullbacks to VWAP sold immediately (signaling more institutional biased selling) ending very close to a 10% correction from its highs. This weighed on Tech (obviously) which was the worst performing sector and dragged Nasdaq (and the S&P) lower. In general equities stayed in sync with risk-assets on the day (we note that TLT's move implies around a 4-5bps compression in yields at the long-end of the Treasury curve) though the lack of liquidity made the relationships noisy. Low volumes, low range, a premature ramp in the last hour that gathered no momentum left S&P futures having retraced 50% of their low-to-high swing of last week. Gold and Oil decoupled early then recoupled late, ending the day down but outperforming the implied weakness from USD strength (EUR weakness balanced JPY and AUD strength on the day). Copper and Silver ended the day down 1.4%. VIX 'outperformed' equity weakness and pushed a notable 0.8 vols higher back over 15%.
S&P futures have retraced half of the linear up-trend gains from last week now - though today's volume provides little confirmation... ES volume around 40% below average...
[6]
FX markets were relatively dispersed today with Cable (GBPUSD) weakest (along with the EUR) while AUD and JPY outperformed... USD ended 0.37% stronger...
[7]
The dispersion in FX was also evident in the last few days volatility in FX carry pairs relative to stocks (where it seems the FX markets have been the lever - because AAPL is broken - to move stocks higher)...EURJPY vs ES...
[8]
Oil was partnered with Gold early, flip-flopped down to play with Silver for much of the European day, then recovered to play with Gold for the rest of the day... Oil and Gold ended the day down 0.25% (still better than USD-implied weakness)...
[9]
With Treasuries closed, TLT suggested 10Y yields fell around 4-5bps...
[10]
across asset-classes (that were open), risk was generally highly correlated - though the 'jigglyness' (which is a technical term only a PhD could comprehend) was rather notable - as we suspect the algos were dominating and notable to find a trend to grab on to... Confirming the algo-based view of today is the fact that average trade size was its lowest in almost five months...
[11]
AAPL is struggling (as we noted earlier [12]) - but notably intraday - we are seeing something we haven't really seen in the last few months... VWAP being faded (i.e. institutional sell orders...) amid the biggest three-day drop in almost six-months.
[13]
Charts: Bloomberg and Capital Context [14]
Bonus Chart: The 'Gundlach' Trade is handsomely back in the money - with NatGas up 19.6% while AAPl is only up 9.3% since inception...
[15]
Bonus Bonus Chart: Many have noted the rally in the Dow Transports - and used it as evidence that all is well and those silly-billy Dow Theorists had it all wrong all along. However, two things are noteworthy:
1) The Dow Transports remains massively underperforming... and non-confirmatory... and we have seen this pattern before - earlier in the year..
[16]
2) The recent rally looks more like a pairs trade to us! Since QEternity, The Dow Transports and Russell 2000 have diverged notably and then converged today! We suspect this means an end to the 'technical' buying pressure for the Trannies...
[17]