Low Volume Meltup As EUR Jumps Most Since MAR09

In a splendid show of market wonderment, EURUSD managed a 350pip rally off Sunday night lows to pull off its biggest percentage gain since MAR09 at over 3.5 standard deviations. Correlations forced ES higher (breaking above its 50DMA intraday for the first time since late July) as every risk asset rode the FX carry train on 'new hope' that more debt will once again fix everything that is wrong with our debt-laden, risk-loving world. With TSYs closed and volumes 40% below average it seemed evident that the risk assets were beating to the same drum almost tick-for-tick as Oil broke $85, copper almost $340, and Gold $1670. European markets were relatively subdued until the US day session opened and then we were off to the races in equity and credit as Energy and Financials led the way (both up over 4% on the day).

EUR daily change (close to close) is 2.37%, the largest since 3/18/09 (just outpacing the JUL10 move).

European credit and equity markets were treading water until the US opened and then all was well in the world.

But it seems that (rather surprisingly given the huge uncertainty) correlations were driving everything as ES pulled right back up to where CONTEXT (calibrated from Friday) would suggest is fair. Of course the biggest driver of this was EURJPY but the convergence is remarkable given that human beings are supposedly trading?

Charts: Bloomberg


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