Another Day, Another Record High Close

From the November lows, the S&P 500 has gained an impressive 21.5%. This is at an annualized rate of over 50% with 4 very modest 'dips' that have been snapped up by those that should know better. The Dow topped 15,100 - yay! Until the last hour of the day, VIX was very much not in agreement with the exuberance in stocks but the mid-afternoon swoon in stocks (Druckenmiller?) that corrected futures to VWAP was just what was needed to spark some furious volatility selling euphoria and crush VIX back to its lows of the day. Despite the equity excitement, 'most shorted' names actually underperformed (for once) but every effort at selling was met with a squeeze (especially into the close). Treasuries ended lower in yield for the second day in a row with stocks higher. Credit markets remain under-impressed for the second-day with IG and HY both wider on the day. Commodities generally improved on the day (with Copper's early euphoria fading as the day went on) as the USD leaked lower (with everything stronger against it aside from AUD). Today was the highest average trade size in S&P futures of the year (on sub-average volume).

 

Trannies are now up over 5% from the pre-NFP levels on Friday with the rest of the major indices up around 2%...

 

History doesn't repeat - except when it does - 17-day roundtrip dips that were f##king bought...

 

Shorts tried... and failed...

But credit seems to be backing off a little - or perhaps this is the pairs trade (Sell HY, Long Stocks) from an overly bubbly spread compression...

 

and Treasuries remain unimpressed...

 

Commodities drifted higher (on weaker USD as much as anything else) though Copper jumped early on but gave most of it back...

 

Across the index capital structure (i.e. Stocks, credit, rates, volatility) it was stocks that led all day with the rest lagging (as evident below) until VXX was slammed at around 3pmET and 'reality' converged...

 

Today saw the largest average trade size in S&P futures trading of 2013 (on lower than average volume) - typicaly professionals get in at the start of trends and out at the end... a spike like this suggests exits but nothing makes sense anymore...

 

Charts: Bloomberg and Capital Context

 

Bonus Charts: Hedges were lifted in that last hour...

but underlying volume was not at all on the bid-side of the market...

pros reducing exposure?

 

Comments

No comments yet! Be the first to add yours.