With S&P 500 futures volume around 25% below average, it is little surprise that the little-algos-that-could did their damnedest to get up to Friday's closing VWAP. Equities were in a world of their own today relative to broad risk assets with high-yield credit lower, volatility up, and rates lower - seemingly supported by its correlation with oil (which managed to pop over 1% on the day to almost $86). Utilities were hurt the most as QE-sensitive Materials, Energy, and Tech managing to outperform as AAPL levitated from lower lows ($570) pre-open to bring today's price up to Friday's closing VWAP and that's where we wriggled most of the day, with every rally faded at that magical level. Whether investors were placing chips last minute into the election is unclear (Energy outperformance, Financials unch, and Utility underperformance possibly suggest Romney victory and split house?) but certainly conviction was low as evidenced by volume and pre-ramp ranges. Despite USD strength, Gold and Silver also outperformed on the day as Treasury yields dropped 2-4bps.
The S&P ended the day at resistance half-way between Bernanke's Bottom and Draghi's Dream levels...
[4]
Risk assets were a little mixed - commodities rallied risk-on-like, Treasuries and USD were more risk-off mode, and credit and vol were in risk-off mode. Summarizing into a single-indicator, the following chart show that ETFs (left) were very much less sanguine than stocks today and broad risk-assets (right) went nowhere as stocks levitated...
[5]
Only oil was moving along with stocks as they surged away from the rest of reality in the last hour...
[6]
and as the USD leaked higher by 0.22% on the day, so Gold and Silver ignored it and also rose...
[7]
Charts: Bloomberg and Capital Context [8]
Bonus Chart: AAPL amazing levitation to Friday's VWAP...enjoy...
[9]
And Zillow cut its outlook - 27% later...oops...8-month lows...SAC's recently added 838k shares probably feeling a little queasy right now... (and Citadel's 790k shares)
[10]