Despite EURUSD trading in a 10pip range all afternoon (flat), a significant divergence in VIX (bearish), and a roundtrip to unchanged in Treasuries (flat), equity markets did what they do best - levitate. Volume slipped but was not terrible (as did average trade size) suggesting this strength is hardly the stuff of professional rotation (no matter what we are told to believe). For most of the day session stocks trod water in a small range but into the close (ahead of the vote tonight), S&P 500 futures went vertical amid absolutely and utterly no news whatsoever, blowing through yesterday's closing VWAP and beyond led by financials (now +4.375% on the week). Futures kept going after the close completely wiping out yesterday's losses. Silver came off the lows of the week marginally in the afternoon but ends today down 7.2% for the week as Copper and Gold follow it lower (and WTI +3% on the week). We suspect the liftathon is a remnant of the lack of size sellers (knowing there is no liquidity to move into) who are aggressively protecting via options. Most-Shorted names are the best performers once again.
HYG ramped in the last few seconds on decent volume as S&P 500 futures had already left the gate, interest rates and vol were not amused...
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HYG's last minute move (which blew it to recent richest levels from intrinsics) looks like a combination of arb against SPY but could potentially be an effort to hedge across the CDS roll which took place today - either way, remarkable really...
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But S&P 500 futures closed at Tuesday's closing level (as if by magic)...
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Everyone talking about the great rotation... not seeing that in Treasuries, sorry...
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Commodities are having a hell of a week - Copper (no recovery), Gold (no moar QE?), and especially Silver (no moar QE or recovery) are being monkey-hammered lower as Oil shrugs it off and joins the global recovery trade...
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Across broad risk-assets, correlation with equities plunged as they were in a world of their own this afternoon. ETFs were dragged up by SPY at the very close...
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Charts: Bloomberg and Capital Context [13]