Isn't it intriguing that with the cash bond market closed, every other risk-asset-class in the world dies a horrible death of volume-less list-less price action? Today's only activity - bearing in mind the absence of the bond-market's almost ubiquitous POMO leveraging idiocy - was from the US open to the European close. From that point on FX markets (JPY crosses) and stocks went dead-stick pinned to VWAP (but managed new highs in the Dow). There was some divergences... HY credit (via ETFs) dropped rather notably to its lowest in almost a month; VIX was banged back under 12.5% - its lowest in almost 3 months; and crude oil prices jerked higher. Treasury futures indicate a 1-3bps yield rise on the day, the USD leaked lower (led by EUR strength), and PMs went nowhere fast treading water with modest losses. Stocks closed at record highs as the dash-for-trash remains front-and-center: "most shorted' names have tripled the market's 1.4% gain in the last 2 days!
"Most Shorted" stocks are up 4.3% from Thursday's close... triple the return of the market...
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Stocks went nowhere fast today...
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with futures pinned to VWAP after Europe closed... withvolume 35% below average...
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Trannies topped the equity tables today as the early squeeze ramped them back near their highs...
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Treasury futures imply a small 1-3bps yield rise on the day... (with the long-end underperforming)
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Credit markets remain decidedly unimpressed...
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There was no JPY carry to drive stocks...
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VIX was banged lower - below 12.5% for its lowest close in 3 months...
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Oil jumped, copper flatlined, and PMs oscillated aftae rovernight weakness...
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Charts: Bloomberg
Bonus Chart - VIX (though low) remains "rich" relative to the extraordinarily low realized vol of the last few weeks...
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