Goldman Sachs and Morgan Stanley are down 6.5% on the week (and even BofA has turned red on the week) as US equities have started to show 'slight' strains on European fears (as well as global PMIs and US earnings - what else is there?). Homebuilders gave up all their week's outperformance in the first hour of the day. Dow Transports are down 2.5% on the week now - notably underperforming and reverting their outperformance. VIX surged 1.25 vols to 14.00% - with protection remaining bid relative to stock's modest drop so far. While Treasury yields pushed lower all day (-6bps on the week) as did WTI (-1.5% on the week now), gold and silver flatlined after the spike higher this morning (both up 1.4% on the week). JPY strength was a key factor today as carry-trades were unwound. Risk-assets in general were once again highly correlated as credit tracked lower closing at its lows of the day like stocks. Equity trading volume was above average but average trade size is still falling and S&P 500 futures inability to hold VWAP into the close suggests institutional selling pressure is picking up.
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Trannies leading it lower...
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but the major financials (as we warned post-CCAR deja vui from last year) are tumbling...
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VIX is bid relative to stocks but breadth was weak today as selling was clear in underlying names as well as index protection...
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FX markets stayed relatively rangebound this afternoon (if you look at the Dollar Index) but there were some significant shifts away from the EUR...
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and HYG (high yield credit) tumbled in the last hour or so (with manic revrting ramp at the last second) putting pressure on risk-assets (as Capital Context's 'SPY Arb' model [11] shows in the lower chart)
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Chart: Bloomberg and Capital Context
Bonus Chart: All the wonderment at the strength of the homebuilders as some indicator that things are rocking and rolling and we are off to the races - we thought this chart might help...
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