Equities closed the day-session near the highs of the day as OPEX shenanigans were evident everywhere. Early and ugly macro data was swept under the proverbial carpet (as it is transitory Sandy effects?), the ubiquitous European-close trend reversal started us higher, and then platitudes from D.C., and a late-day Fed-Head jawbone did the rest on a day when AAPL saw its largest volume in 8 months and pinned between 520 and 530 VWAPs. Risk assets did not follow the path of most exuberance that stocks did on the day (surprise). Credit tracked with stocks today in general but remains an underperformer on the week. Oil was the week's big beta winner with the USD (despite underlying dispersion in EUR and JPY) and Treasuries rather dull. Gold sagged but by the close today the S&P 500 had recoupled with the barbarous relic on a beta basis. VIX compressed (exciting some that are incapable of comprehending a term structure) as put overlays were unwound into OPEX (and given the VWAP/volume moves it would seem AAPL saw hedges taken down and exposure reduced). Red week as stocks continue to catch down to bond's new normal.
Equities surged away and retraced and then surged away agin into the close relative to a much more subdued road risk market...
but on the week Gold and stocks recoupled (again), Treasury yields and the USD recoupled (and were quiet), as Oil surged...
but the USD ended the week up a mere 0.2% (with JPY down 2.25%) amid very low realized vol...
AAPL was a major driver today (as always) with huge flows in stocks and options (impacting index price and vol)... evidently the algos were in charge as yesterday's VWAP and today's kept us pinned around $525 for OPEX...
and here is today's implied vol move for AAPL - this is put implied vol collapsing as overlays are unwound into the close (and theta effects obviously from OPEX). Notably unlike in the index - where vol positions were rolled and we saw outer dates rise - AAPL's longer-dated vols did not rise which somewhat confirms our suspicion (given the skews) that the world and his pet giraffe eric loaded up on puts on the way down to protect their overweight positions and then used today (see volume above) to unwind hedges and reduce size in the underlying...
AAPL is now underperforming broad equity indices from the mid-May lows of the year...
but remains a big winner from the start of the year (for now)...
Year-to-date, Gold and Silver remain the winners and the US long bond has now overtaken European stocks once again... +5% YTD.
Charts: Bloomberg and Capital Context
Bonus Chart: Commodities look like they went full-retard this week - with a US-open-to-EU-close cardiac arest every day... margin-calls anyone?
