It was a dream come true new normal FOMC day - green all around as the overnight pump on Russian hope provided the anchor. US equities (except Transports which were hammered by FDX) wiggled sideways around unchanged from pre-Cyprus, ignored the Fed, jumped on the BoJ non-news, ran some stops into the close, and then gave back all the open-to-close gains as JBL and ORCL missed and reality sunk in. Post-Cyprus, Morgan Stanley remains -4% (and BofA +2%) but homebuilders led the way. Volume was average; average trade size was low (and has been falling). For most of the day Treasury yields (+5bps on the day), S&P 500 futures (+6pts), and EURJPY were inseparable as algos ruled the VWAP waves. The S&P 500 ends below pre-FOMC levels but Oil was among the biggest post-FOMC gainer.
Saw this pattern earlier in the week - low volume ramp from deep under VWAP to unch from Cyprus and then dump...
[6]
but today was a success for a few gleaming moments as the S&P made it back to unch on the week...
[7]
and Financials seem less convinced (with MS down 4% post-Cyprus)...
[8]
Even though trade size is slumping (suggesting algos and small retail are playing now) after volume peaked yesterday into the highs...
[9]
But EURJPY, Treasury Yields, and the S&P 500 were inseparable today - guess which is which...
[10]
Cross-asset-class correlations reached extremes during today's US session (as seen in Capital Context's model below - lower right [11]) but in ETF-land, the recoupling into the FOMC was decoupled as Vol, rates, and credit were each tried to ramp stocks and failed...
[12]
Charts: Bloomberg and Capital Context