JPY dumping early as G-20 showed they were as much use as a chocolate fireguard. Precious metals (then the rest of the commodity complex) cracked lower in the pre-open and USD strength but vol-crushing was not taking a day off and VIX-compression led S&P futures to test new highs (actually a tick off the week's highs) on dismal volume. Treasury yields pushed higher (though we note the 2s10s30s butterfly was the main carry driver). Correlations in general drifted lower as stocks slipped gently off their highs on mixed ECO data. As Europe closed, selling began but we noticed an odd thing - the selling continued - it was a non-POMO day!
Then the WMT news broke and there was no POMO ammo to soak up the selling as the stock chipped away chunks of the Dow. AAPL slid too hurting the Nasdaq. The S&P tested the week's lows (and into the red) as ES dropped over 10 points high to lows - truly terrifying in this age of 1pt close to close shifts - but sure enough, the huge volume surge into the downturn was tickled all the way back up (as stocks tried to recouple with their more exuberant VIX neighbor) and touched VWAP into the last few minutes.
VIX selling pressure into a long-weekend is not unusual but to new multi-year lows is becoming farcical. Gold -3.5%, Silver -5%, 10Y +6bps, USD +0.3%, Oil Unch, S&P +3pts, VIX -0.5vols. Quite a week of volumeless lethargy as the S&P 500 closed 1518, 1517, 1519, 1520, 1521, 1518.
FX markets saw USD vacillate modestly with GBP winning the currency war this wqeek and JPY giving some losses back..
[7]
S&P 500 futures drifted lower after the European close and saw no bid come to the rescue - then WMT hit and set it tumbling to the week's lows - of course - a late-day VIX slamming party saved the day and got stocks back to unch and VWAP...
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and even though S&P decoupled level-wise - the post-WMT VIX slam saved the day...
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buit today was all about Gold and Silver (and the JPY)...
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Across all asset classes, Capital Context's CONTEXT model [11] showed far less exuberance all day long and when stocks plunged on the WMT news that is exactly where they found support - before taking off into the close once again... ETFs (upper left) tracked each other well though offering a few small arb opporunitities - though overall credit underperformed once again...
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Favorite tactical trade [11] remains long 3x HYG vs 1x Short SPY...
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Charts: Bloomberg And Capital Context
Bonus Chart: Quite a day of testicle-clamping for HLF shorts - ended alright once Icahn opened his mouth on TV...
[14]
Bonus Bonus Chart: Gold and Global Central Bank Balance Sheets losing their mojo for now...
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