The last 12 days have seen the S&P 500 surge 7.5% - this is the fastest run since the co-ordinated global intervention that started Thanksgiving 2011. The overnight gap open never looked like being tested and volume remained average at best all day (until the 1400ET vert-ramp took us instantaneously above the previous all-time high close - running stops on the way - and pushing volume well 'below' average). Interestingly, the sectors did not enjoy the smash higher that the indices did and all pretty much trod water from open to close (with builders best all day). All indices are handsomely green from the 6/19 FOMC statement and only Materials and Builders are red (-1% from 6/19 FOMC). The same pattern was seen in gold, silver, copper, and bonds (overnight surge higher and then flatline for the day). The long-end of the TSY complex underperformed (-2bps vs 7Y -8.5bps) and as the stock indices exploded to highs, credit markets were not following along (and nor was VIX which dramatically diverged from stocks' exuberance).
Credit did not play entirely along - especially in the low volume explosion into the close.
[3]
Underperforming sectors surged to reach back for those FOMC levels...
[4]
But from the Gap-open - things were relatively dead...
[5]
Best 12-day run in 19 months...
[6]
And everything else followed the same pattern of overnight jump and relative stability...
[7]
WTI dropped notably on the day (must be all that growth that stocks are pricing in?)...
[8]
as the Brent-WTI spread hit $1.50 and then pushed back out again...
[9]
and there was a lot of discussion of short-squezes - it doesn't look so much that way - the variation was all at the open and then stopped. Perhaps the stops were all triggered out of thegate or the shorts capitulated at the open but when we see these kind of moves, typically the 'most shorted' outperform much more...
[10]
oh and it seems not everyone was enamored with the surge in stocks... as hedgers piled in as we hit new highs... (VIX -0.2 vols only as the S&P rose 1.36%)
[11]
Charts: Bloomberg