For a few wondrous moments around 1430ET the Dow and TRANnies were green and all was well and the world could rest assured that government stealing private property was nothing to worry about. Then it seems some odd tin-foil-hat-wearing blog did the math [5] to figure that there is no way the Cypriots get the vote. VIX had not been partaking of the exuberance BTFD rally as it seemed evident that managers chose to 'hedge' as opposed to 'sell'. Shortly after Europe closed, it was notable that market breadth shifted decidedly weak - though the indices pushed on higher until green was reached. Risk was highly correlated across all asset-classes today but shortly after Europe closed the USD began to rise once again. Gold notably outperformed (especially given USD strength), bonds were bid, and financials underperformed all day (as homebuilders managed gains on the worst NAHB print in six months). We suspect the afternoon was a little more reality than the morning's knee-jerk and volume dominated the last hour's dump. VIX bid to 12-day highs over 13.60% (+2.3 vols).
S&P futures dumped in the last hour on heavy volume and were caught by VWAP...
[6]
But VIX is leading the way as evidently protection and hedging was the order of the day...
[7]
As we surged to unch and then lost the gains...
[8]
Market breadth was weak all afternoon after Europe closed...
[9]
And across asset-classes, Capital Context's CONTEXT model (proxy for risk-assets) remained extremely highly correlated to US equities all day...
[10]
Charts: Bloomberg and Capital Context