Despite a well-placed Nikkei headline (at 3am Japan time) that spooked JPY lower in an effort to ramp stocks, S&P futures closed down around 22 points to cap the worst 4-day high-low swing swince December - unable to break VWAP. Protection was well bid everywhere with VIX once again spiking up to over 17.5% before ending the day up 2.5 vols around 16.5% (implying notably more weakness to come for stocks). The S&P sell-off stalled at the 50DMA - its closest to the mythical Maginot line since the post-fiscal cliff rally began. Treasury yields dropped to 4-month lows at 1.67% before bouncing modestly higher into the close. The USD strengthened as EUR had its worst day in months. Copper and Oil suffered the most as growth fears spread (both pinned together -7.2% from last Thursday). Gold and Silver practically flatlined today (with gold a slight outperformer). Tech and energy struggled on the day but homebuilders are the week's biggest losers for now. S&P volume was 2nd highest of the year as Nasdaq and Trannies plunge back to recent lows.
S&P Futures saw heavy volume and ended pinned to VWAP despite the best efforts a late-day VIX/HYG/JPY ramp...
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S&P 500 Futures - 2nd biggest volume day of 2013, biggest 4-day swing of 2013.
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VIX remains well bid...
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Broken Trendline?
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It seems something happened last Thursday on the European close. Bitcoinh had dumped overnight, US equities soared out of the gate on a better-than-expected Jobless Claims print but the moment Europe closed... we never looked back and then later than night gold started its epic collapse...
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Trading was very systemic today - correlations within ETFs and Capital Context's CONTEXT model [11] were very high (and ended together)... closing yesterday's exuberant gap...
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They tried to save the day with another well-place JPY headline - but stocks didn't budge. And then Lew let the air out...
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How much further for stocks? Who knows?
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Charts: Bloomberg and Capital Context
Bonus Chart: AAPL - every attempt to get back to VWAP (red) failed but $400 was a clear barrier for now... (though the closing VWAP orders are obvious sells)...
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