Market Snapshot: What A Day!

We have seen several days in recent weeks that beggar belief in terms of intraday range and velocity but today was very impressive indeed. After rallying over 2.6% from overnight lows, ES then dropped almost 3.2% before managing a 2.2% rally off intraday lows in the last hour to regain VWAP. A massive volume at the close (especially compared to the rest of the day) was also notable but once again we note the significant pickup in relative volume as we sold off versus the rally.


Credit followed a similar path but with significantly less intraday range though HY ended up modestly outperforming IG at the very end of the day. The pattern of index outperforming single-names remained all day as skews compressed (taking away from the overall positivity of the green close in credit) and we note some quite significant deterioration from open to close among many credits. Most notable was further exaggeration of the discussion we had at the European close with regard Financials bond net-buying versus CDS protection buying as we point out BAC widened 15bps from open-to-close, MS 12bps, C 12bps, GS 9bps, and JPM 3bps. This should be intriguing for those who see the 2.8% up day in XLF today.

We pointed out at the earlier close how equities were leading risk assets in general today when they pushed down and that was the case but remarkably, the broad risk-asset-based CONTEXT basket maintained sense of decorum while all about it abandoned ship and by the close ES had pulled all the way back up to 'fair-value'.

TSYs had a relatively quiet day after the auction seemed well received as the belly continued its trend from earlier of underperforming relative to the short- and long-ends (as the 30Y was the only maturity to manage a gain, with its yield dropping 2bps on the day).

The USD leaked higher for much fo the middle of the day until ES decided it was time to rip and DXY went from almost unch on the day to -0.3% - hardly a huge move. We do note that when ES started to really accelerate in the last hour that it was CAD and SEK that moved the most relative to the USD.

Precious metals and oil/commodities also rallied as ES ripped (and USD dipped) - all of them gaining around 1% in the last hour in a wondrous Birinyi's ruler straight-line fashion. We do note that gold is leaking lower after-hours - though only mildly.

All-in-all, a very 'special' day for many traders and we can only hope, for the sakes of people's margin accounts, that getting through the month-/ quarter-end will at least calm intraday craziness a little. However, we fear that the longer it takes to bite the bullet in Europe, the more volatile we get as Greece's deadlines loom and scenarios become fewer and more disparate.


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