The small-cap-dominated Russell 2000 fell for the 2nd week in a row for its worst performance in 4 months (though bounced modestly off its 50DMA today). Stocks traded in a relatively tight range today - swinging around VWAP - following their only driver - JPY crosses, most of the day. NASDAQ 4000 was rescued to ensure the headline-writers do not panic. Treasuries were flat to modestly better on the day but end the week mixed with 30Y -1bp and 5Y +5bps - collapsing the term structure to 6 week lows. Precious metals bounced to end the week +1%, which with the USD closing unchanged on the week, made them the outperformer across asset classes. VIX closed higher for the 4th day in a row (with the curve now its flattest in 28 months).
The S&P 500 is down 4 days in a row for the biggest drop in over 2 months and lowest close in a month but today was a VWAP dance...
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Aside from a mid-afternoon, seemingly vol-driven dump and pump, stocks hugged VWAP and the flatline today (with Russell modestly outperforming and NASDAQ underperforming)...
Gold and Silver were bid today (as WTI slipped)...
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FX markets were volatile but JPY strength today dragged the USD back to unchanged on the week...
VIX closed at 2 month highs and with short term risk the highest relative to medium term risk since August 2011...
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With protection well bid into the close..
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The Treasury term structure has flattened dramatically in the last week or so... to 6-week lows (and critical support)...
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as it appears the bond market's "belief" in the recovery is fading...
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Charts Bloomberg
Bonus Chart: The Nikkei and The Dow are fighting it out down here...
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