It was so easy. Of course they'd save Cyprus somehow and we could all go back to business as usual - and sure enough that's how we opened, stocks at highs, VIX banging lows, bond yields grabbed higher, but behind the scenes a few things were not playing along (US and EU bank equity and credit for one). 1 point from S&P 500 highs. Then #DieselBoom uttered that word - 'template' - and all was let loose as the realization that risk existed suddenly flooded back into investors' minds. S&P 500 futures dropped over 20 points high to low (with downward volume very heavy), when Jeroen tried to jawbone his statement back we dribbled back up to VWAP but couldn't break it and from there (despite spurious JPY-based headlines once again), risk-on assets drifted to the lows. As carry trades were lifted (and everyone shied away from EUR) so JPY jerked 1.4% higher (and fell back a little into the close) but against every thing else the USD was bid. Treasuries banged back to the low yields of last week and despite USD strength, Oil ended above $94.50 as Copper fell 0.5% and Gold and Silver bounced from an earlier spike lower. VIX opened under 12.5%, soared back over 14.5%, and closed +0.25vols at 13.8%. Meanwhile, the big banks in the US are -7% from Cyprus and still expensive to credit.
S&P 500 futures were not buying Dijsselblom's retraction... though they end the day better than we might have seen as the magical levitation to VWAP at the close helped...
[6]
which saw the S&P only test up to its downside channel and not break it...trend is your friend (and its ending)...
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And broad US equity markets appear to be a little more concerned about Europe/Cyprus than we were all told last week...
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As Financials are battered...
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But remain notably rich still to credit...
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FX markets were very active today (as we noted earlier Russian Rubles seemed in big demand)... with USD dragged notably higher on EUR weakness...
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as the Ruble soared 1% against the EUR...
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Commodities were very spikey today (Oil spiked up and Gold/Silver spiked down) but all closed well relative to the USD strength...
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Cross-asset-class correlation was very high as risk was definitely off today. As Capital Context's CONTEXT model (right hand side) signals, the selling today was very systemic...
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Charts: Bloomberg and Capital Context