What a ridonculous day. We nearly dragged the deer out - or even Donkey Kong - but the epic awesomeness of the swings in stocks today (most notably the S&P 500 - since AAPL/NASDAQ tracked lower and more consistently all day) was simply remarkable. AAPL broke all kinds of records today (losing more market cap today than 80% of the S&P 500 companies in total h/t Peter Tchir). Despite the rapid collapse on the S&P 500 into the close (as HYG pulled off its lows in a failed convergence trade) amid heavy volume, saw the S&P manage a gain on the day but down on the month (while the Dow Industrials and Transports are basically unchanged since 11/30). Rates fell and stayed near their lows for the day; commodities chopped around (as usual) but ended marginally lower from yesterday's day-session close; financials were the winners on the day but led by just great companies as BofA and Citi which staged a tick-for-tick algo liftathon odyssey of idiocy (now up around 6% on the month!!). All-in-all, the S&P remains rich to risk assets but the overflow from AAPL's collapse has likely not played out yet as taps-on-the-shoulder will be everywhere tonight.
Today's awesomeness... sell down (run stops), ramp linealry vertical off Europe close thanks to JPY (run stops for week), everyday on strike..., then dump to VWAP close...
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While the Nasdaq dropped along with AAPL... We suspect some of the rally in ES today was unwinds of the 'hedged' AAPL trade - i.e. traders isolating AAPL's 'alpha' (actually high beta) from the market by buying AAPL and selling ES - as the magnitude of the downshock far outweighed the shift in ES.
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The S&P was in a world of its own for much of the day - and collapsed metronome-like back to risk-assets by the close...
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led by financials...(and lagged by Materials)
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as Citi and BofA were just idiotic...
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and the market tried its best to recouple into the close as HYG and SPY were compressed... and AAPL lost it...
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and FX markets were extremely volatile with some decent trend changes - JPY weakness (back to unch on the week) and even EUR started to bleed into tomorrow's ECB meeting (though up on week)...
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Gold and Silver slid modestly, Oil dropped further and recoupled with Gold on the week - copper rose...
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Charts: Bloomberg and Capital Context [13] [13]
Bonus Chart: AAPL broke all kinds of records today... AAPL at 300DMA, 50DMA crossing 200DMA, biggest single day absolute $ drop, biggest
%age drop since Dec2008, biggest 3 day swing since May2010 - and of course biggest market cap loss in history...
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Bonus Bonus Chart: VIX (green) and Europe's VIX (Red) recoupled for the first time since August 2011 with the latter having collapsed from over 10 vols above VIX in the last month!
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Bonus Bonus Bonus Chart: AAPL's implied vol (black) vs stock price (orange) relationship appears to have seen a regime change of sorts - unlike in previous moves, this down move (and the recent bounce) have seen a higher and higher demand for protection as implied vol moves to near year highs - even as the stock remains well up for the year. We can only imagine that at some point the owners of the underlying will need to unwind (rather than carry the exposure and hedge) and over-paying for vol will be the signal for when that is happening...
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Charts: Bloomberg