Quad-witching only added to an extremely volatile week as the entire bond, stock, FX complex pumped and dumped on the basis of whether a "considerable period" was really six months and whether "quite some time" was more or less than six months. The S&P hit record highs early on this morning thanks to a ramp in AUDJPY (but once again bonds didn't blink). All that ended when Europe closed and the Biotech sector's weakness spread, leaving the Nasdaq -1.4% post-FOMC (and all other indices in the red post-FOMC). The range of moves in bonds, FX, commodities, and vol this week were impressive as we noted below...
Year-to-date, gold remains the winner (and HY credit the loser)...
[5]
Year-to-date, the Dow is back in the red and Russell outperforming...
[6]
To summarise this week's carnage...
- 2Y Yield +8bps - the worst week in 9 months
- 5Y Yield +17bps - the worst week in 7 months
- 30Y Yield unchanged
- 5s30s -16bps - 2nd biggest flattening in 21 months
- 2s10s unchanged
- Silver -5.2% - the worst week in 6 months
- Gold -3.3% - the worst week in 4 months
- Copper ~unchanged (down 4 weeks in a row)
- USD Index +0.83% - best week in 2 months
- EUR -0.82% - broke 6-week win streak
- VIX -2.8vols - 2nd biggest drop in 14 months
- Nasdaq Biotech Index -2.8% - worst week in 5 months
- Financials unchanged on the week
When the bottom fell out... as Europe closed...
[7]
Post-FOMC, all indices are now in the red...
[8]
With only financials holding any gains...
[9]
Bear in mind that financial stocks will rally into the capital announcements (as it has done for 3 years) but credit is weaker and not confirming this move at all...
[10]
Notably, "most shorted" names have been very weak since the FOMC - even as the broad market is pumped on the heels of financials...
[11]
On the week 30Y is practically unchanged while 5Y is +17bps!
[12]
FX markets were also volatile with EUR and JPY weakness (but AUD relatively outperforming)...
[13]
Gold has been limping higher thelast 2 days but on the week PMs remain under pressure with oil and copper around unch...
[14]
Charts: Bloomberg
Bonus Chart: The MoMos no likey Ms. Yellen...
[15]
Bonus Bonus Chart: Biotechs battered...by most in almost 3 years today
[16]
U.S. lawmakers have asked Gilead Sciences Inc to explain the $84,000 price tag of its new hepatitis C drug Sovaldi, which is encountering resistance from health insurers and state Medicaid programs - spraking concerns they may have a harder time pricing new medicines.
It seems like the government is basically going after externalities from yet another bubble sector likely bursting the bubble