Europe started to bleed after the Spain bailout debacle but from the open, US markets fell. They plunged on the ISM miss, bounced to VWAP in their wonderfully efficient way, and then spent the rest of the day shaking off the idiocy of last week's window-dressing. S&P 500 futures (ES) fell from 1424 highs to close at the day's lows around 1407 (still around 10 points rich to short-term Treasuries). When the ISM hit we saw Gold rally and Stocks dump to recouple the two assets for the day but overall it was stocks that were harder hit than other risk assets today - though evidently they were also major outperformers last week, so this is catch down as opposed to over-pessimism for now. Stocks were weak today in the face of a weaker USD (correlations breaking down) and a relatively unchanged Treasury market. Gold, Copper, and Oil all closed clustered together just in the green with Silver outperforming and VIX jumped 0.75 vols to 16.6% (highest in two weeks). High-yield credit had quite a day...
S&P was unable to get back to VWAP in three pushes late on - suggesting significantly more selling pressure than normal...
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Dow Transports suffered the most today...
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And while Gold and stocks recoupled after ISM (black oval), as the afternoon progressed stocks slid to the lows of the day, leaving the rest of risk behind...
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Materials were the hardest hit - despite stronger than expected PMIs from Asia (which clearly investors have priced in or do not believe)...
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And finally, HYG lost ground early on its dividend but into the close saw a huge ramp up to VWAP on significant volume - which looked like some kind of arb catch up to stocks...?
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a world of volume went through in HYG in those last few minutes... which we can;t help but notice dragged the stock up to Friday's closing VWAP...which suggests a lot of professional sellers as block size picked up notably (though it is so technically noisy in this stock)...
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Charts: Bloomberg