Thanks to Draghi's jawboning the correlated risk-off rampage that occurred into and through the open of the US day-session (as EUR plunged 200 pips) sent S&P futures back well below 1500 on serious volume. Of course, that was unacceptable and once Europe closed and POMO was done, S&P futures began their VIX-coupled liftathon. By the close, S&P cash ended just in the red for the week again - within a 3pt range of closes (1511, 1512, 1509) in the last 3 days. Risk-assets in general were more correlated early on in the dip and then de-correlated (surprise) as stocks lifted. ETFs across rates, stocks, vol, and credit held together; but the underlying markets did not play along as the USD flatlined and Treasury yields only rose modestly as stocks surged this afternoon. Gold and silver ended the day down (after a flurry of dips and rips as Draghi spoke). A late-day, well-timed AAPL press release provided some impetus, pushing Tech almost into the green on the week (as only Staples are so far). European stocks, bonds, and credit are all red for the year; US credit is red for the year; US macro is red for the year; and US stocks continue to believe (SPX +6%) - even as the USD (+0.5% YTD) has the biggest 4-day jump in 7 months!
This is not rotation - this is a difference of opinion over risk... Credit is red from the start of the year, equity - not so much...
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S&P 500 futures saw huge volume on the downswing and then nothing on the way back up to UNCH on the week... (green is above average volume and red is below average in the lower pane)
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and it all happened after Europe closed and POMO ended...
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ETFs in general across the capital structure clung to their 'far-value' as Capital Context's [8] SPY Arb indicates below. However, the broader CONTEXT model shows the afternoon ramp was far removed from FX and rate movements...
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The USD is up 1.26% on the week (and EUR 1.8% down vs USD)
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- the biggest 4-day rise in the USD in seven months!!
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Source: Bloomberg and Capital Context
Bonus Chart: AAPL rallied (on its 3rd try) to the top of its post-earnings gap-down levels...
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