WTFebruary: Stocks Worst In 9 Years As Record Win-Streak Abruptly Ends

This is the first down-February for The Dow since 2009, the worst February for the S&P 500 in 9 years, first down-month since Oct 2016, and biggest monthly drop since Jan 2016 (right before the Shanghai Accord)...

Short volatility in January vs short volatility in February pic.twitter.com/OPJxq8lg8A

— Ramp Capital♿️ (@RampCapitalLLC) February 28, 2018

Well it happened...

This is also the worst month since August 2015 for 'balanced' portfolios with an aggregate bond and stock mix down dramatically (both bonds and stocks down)...

All the major RP funds bounced back but had ugly months in the end...

Let's look at February for US equity indices - first cash...

And futures (which show the more extreme swings)...

Stuff started to hit the fan into the close today...Dow is down 700 points from when Powell started speaking in hawkish tones (and VIX is up 5vols, back above 20)

So much for "rebalancing flows" into month-end.

Observing the rest of the February carnage...

• Trannies worst month since Jan 2016

• Small Caps worst month since Oct 2016

• VIX biggest monthly jump since Aug 2015

• 30Y TSY Yield biggest monthly jump since Nov 2016

• 2Y TSY Yield up 6 straight months

• HY Credit (HYG) worst month since Jan 2016

• HY Spreads worst month since Sept 2015

• USD Index up most since Feb 2017

• WTI worst month since Aug 2017

• Gold worst month since Sept 2017

• Silver worst month since Nov 2016

Since The Fed last hiked rates, Gold is the winner and bonds the biggest loser...

The February equity carnage has been global...

• European stocks had their worst month since June 2016 (Brexit) and worst Feb since 2009.
• Japan's worst month since June 2016.
• China's worst month since Jan 2016.

S&P saw its 'VIX' up most in Feb but the entire vol complex ended higher...

The S&P broke below its 50DMA...

Liquidity disappeared today - this was the lowest liquidity for any GDP data release day since at least 2008 (h/t Nanex)

Treasuries rallied today, erasing the Powell Pop in yields from yesterday...

Treasury yields were up dramatically in February (even more than January) - most since Nov 2016 (post-election spike)...

The yield curve has flattened dramatically in the last few days...

But February saw the biggest steepening in the curve since July 2017 (in fact the only steepening month since then).

10Y Breakevens are now up 6 months in a row (February barely scratched out a 1bps rise though)

On a side note, stocks were tick for tick with breakevens today...

The Dollar Index extended its recent gains today (best month for Dollar Index since Feb 2017) but continues to trade in a relatively narrow range...

Dollar strength sparked more weakness across commodities today and while WTI plunged , silver was February's worst performer...

All the PMs ended lower on the month...

WTI Crude had its first down month since August, tumbling below $62 handle today...

Cryptos were mixed in Feb - Bitcoin and Litecoin managed gains while Ripple and Ether tumbled...

Finally, we note Bank of America's comments on just how crazy the last two years have been...

The 2nd day of Yellen's Humphrey-Hawkins testimony on Feb 11th 2016 marked the last great “entry point” into the credit & equity bull market. At the time the meltdown in China/EM/oil/HY induced extremely bearish Positioning (the BofAML Bull & Bear Indicator was 0), tumbling global Profit estimates (-7% YoY), and a big Policy stimulus (Chinese/ECB credit easing)…all of which swiftly followed Yellen’s defense of the Fed’s decision not to resort to a Negative Interest Rate Policy in the winter of 2016.

And what an entry point it was... little more than two years later on the 1st day of incoming Fed Chair Powell’s testimony, global stock markets are up 58% (a remarkable $30 trillion in market cap), CCC-rated US high yield bonds 69%, bank stocks 68%, Emerging Market equities 81%, tech stocks 92%, oil prices 139%. Only two asset classes have been in bear markets since Feb’2016: the US dollar (-8%), and volatility (both the MOVE & VIX indices recently hit 50-year lows).

But one wonders, is that fun over now that China's credit impulse has disappeared and central bank balance sheets are set to compress?

Bonus Chart:  According to analysts at Bespoke Investment Group the high-flying technology sector hit a potentially ominous milestone on Tuesday: It now amounts to more than 25 percent of the S&P 500 Index.

“It’s the first time the sector has made up at least a quarter of the S&P since a one-year period that ran from Thanksgiving 1999 through Thanksgiving 2000...Notably, the weighting only got above 25 percent for the final four months of the dot-com bubble when share prices were going insane.”