With JPY losing 100 and the Nikkei futures trading down to a 19.25% loss from the highs (12815 the dreaded bear-market 20% drop level), a combination of a desperate Japanese 2015 plan for the pension fund to buy moar stocks, bad-is-good economic data, and front-running of the now-ubiquitous Tuesday rally provided the ammo for a rally in equities - recovering almost 50% of their post Friday drop losses. Risk-assets in general correlated extremely closely on the day and while volume was well above average, this was driven by the surge to the downside (not the upswing). Treasuries ended the day unchanged (amid a 12bps range on the day) ending near the low yields (moar QE). VIX snapped above 17.5% (its highest in 6 weeks) before fading back in the ramp to unchanged at 16.25%. Credit tracked stocks closely but was less exuberant in the late-day ramp. USD weakness (JPY and EUR strength) supported commodities, with gold and silver outperforming on the day (up 1.65% and 2.2% respectively).
A 50% retracement in the S&P... 330 Ramp Capital came right on time to lift us to the 50% retrace... (and it is worth noting that blocks were large as we rose - suggesting professionals selling into the momentum ignition)...
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and how did the Nikkei do?
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While everyone is celebrating at today's recovery, sectors remain a little aghast with Staples leading the way from the Friday drop...
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and across JPY, Gold, and 10Y correlations changed a few times...
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Credit markets saw high yield lagging stocks today (not what you would expect if this was BTFD ramp) with investment grade credit well bid (up-in-capital-structure preference not exactly bullish).
Equities went a little turbo into the close - accelerating well beyond the rest of risk - as they seemed desperate to get to the 50% retrace... As Capital Context's CONTEXT model [10]shows - the risk-asset relationships remained tight most of the day...
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Charts: Bloomberg and Capital Context