Sigh... Volume is around 50% of average. USD ends the day unchanged; Treasury futures imply an unchanged cash market; Equity indices close practically unchanged but there are some odd-ones-out on the day. Utilities were sold much more heavily that the rest of the S&P sectors (with Tech the only other red sector). Copper managed an outlier gain while oil/gold/silver all dropped. Individual stocks suffered from some exchange drama but all eyes were on JCP (which potentially lost Mr. Ackman $106mm today and ended with a $17 handle (-13%) - its lowest since March 2009; AAPL slid from 'exciting' opening highs to close -0.75% finding every ramp to VWAP was sold into. VIX was the story of the day as much was made of the collapse in front-end risk premia - this (as we explained earlier) was only half the picture as the longer-dated VIX rose relatively as the fiscal-cliff event risk is gradually priced in at year-end. Stocks were considerably more volatile intraday than broad risk-assets (thanks to Treasuries closure) especially after Europe's close, but they ended the day pretty much recoupled.
The ETF Capital Structure (left) statyed relatively in sync after some early exuberance in stocks faded. Broad risk assets (green - right) statyed very quiet while stock meandered around with VWAP as an anchor...
[3]
S&P futures fell into the European close, ramped to run stops off the highs then drifted back to VWAP close very modestly green on the day... with 50% less than normal volume...
[4]
Commodities were mixed...especillay interesting given USD unch
[5]
JCP had a day...-13%
[6]
Utilities were the worst on the day by a long way - followed by Tech. Healthcare won as Indusrials slipped rapidly into the close...
[7]
10Y maybe rose 1bps (given where TSY futures traded) but 30Y was unch.
and here's VIX term structure... not so bullish eh?
[8]
which steepened the most (inverted on the chart) in 8 months in the last 3 days... back to its 100 and 200DMA...
[9]
and Options implied skewness is rising - as complaceny gradually falls from its record highs...
[10]
Charts: Bloomberg and Capital Context
Bonus Charts: It would appear the world and his mum have grabbed downside protection on AAPL... as we have ripped from record levels of implied complacency to almost record levels of concern... This chart plots the amount of expectation for a downside distrbution of returns priced into AAPL options prices. We would note that this doesn't mean going full bullish is required as we suspect that the funds that are massively over-exposed to this monster simply overlaid risk into year-end and are (as we see in the second chart below) selling as carefully as they can into every VWAP ramp... who knows but quite a swing...
[11]
and AAPL's inexorable VWAP-based selling pressure...
[12]