Yesterday's high volume dumpfest in stocks - its biggest drop in 5 months - is followed by a considerably smaller volume pumpfest that elevates the S&P by its 2nd most of the year (2nd only to the opening day of the year). The 'excessive' grab for protection yesterday that took VIX above 17% was smashed into the open and provided the ammo to leak stocks higher all day (VIX fell 3.3vols back under 14% - the biggest VIX drop of the year). The critical level for the bounce appeared to be the pre-Boston drop and every major index managed to regain it - with the Trannies leading the way. S&P futures regained 60% of the Friday-to-Monday slump, gold regained around 25% of its drop, and 10Y yields rose on the day, unwinding around 35% of the rally in Treasuries. EUR strength (and broad-based USD weakness) provided some impetus for algos to lift stocks. All-in-all, today's lower volume, lower average trade size move is not surprising and the coincident close of the S&P at around yesterday's VWAP (and lesser follow-through on other risk-assets) suggest this is more a bounce than a renewed uptrend for now.
Yesterday's biggest drop in 5 months followed by today's biggest rise of the year...
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The late-day spurt (perfectly timed as usual) dislocated stocks from risk-assets...
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but ensured that S&P futures ended above yesterday's closing VWAP providing a parachute for some...
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VIX recovered its Boston protection grab and momentum did the rest...
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As the Dow Transports surged the most from yesterday's Boston drop...
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As commodities broadly bounced too...
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Charts: Bloomberg and Capital Context