Market Snapshot: Europe Closes Weak

S&P futures drifted gently back up to VWAP as we approached the European close for the now ubiquitous post-Europe-close rally. European sovereign spreads to Bunds are all wider in both 2Y and 10Y with the biggest movers on a risk-adjusted basis shifting from the periphery to the core. Financials are not lifting with the other sectors as ES ramps here and while EUR strengthens very modestly relative to the USD, it seems hand-cuffed to US equities as opposed to leading for now. Volume and average trade size is picking up as we rally here - looking suspiciously like professionals selling into strength given deltas - but it is certainly a decent ramp in the context of the last few days.

ES has traded back up to what was the heaviest volume traded level of 1192 overnight and is around 1 standard deviation above VWAP - and not supported by credit moves either.

2Y EU Sovereign spreads all wider with Holland, France, and Finland worst performers on a risk-adjusted basis

and 10Y spreads all wider also...

Charts: Bloomberg

ITRX Main closed +11bps, XOver +34bps (but Hi-Vol was worst hit at +15bps to 278bps). SovX +16bps to 340bps and financials (senior and sub) around 27bps wider on the day.

European bank stocks closed relatively weakly also - though not at the lows of the day near the open they fell rather quickly into the close - again worryingly suspicious that someone didn't want to long and wrong into D-Day tomorrow.


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