We noted yesterday the growing disconnect between stocks and credit - today saw stocks start to play catch-down. High-yield credit (specifically HYG - the bond ETF) has fallen four days in a row - its biggest four day plunge in over 2 months (with today's drop the biggest single-day drop in almost 4 months) amid mega volume. VIX (another notable disconnect) continued to push higher (above 14% for the first time in 3 weeks). Treasuries had been leaking higher in yield on the week (30Y +8bps as FOMC hit) but slid lower as the post-FOMC day wore on. The USD weakness (led by significant strength in CHF and EUR) supported precious metals (and commodities broadly) but not stocks. Silver are up almost 3% on the week (and Gold outperforming USD's implied shift). Homebuilders faded from the open with all the QE-sensitive sectors (Materials, Energy, and Discretionary) all red on the week now. It would appear that bonds recoupling (higher in yield) with stocks was the end of the catalyst for this run higher for now as divergences are appearing everywhere.
S&P 500 futures went red on the week at the close...Worst day in a month!
Something unusual happened... the S&P 500 futures fell from the EU close to the US close...
Trannies lost their way today - and are beginning the reversion...(YTD performance for the mahor indices - except RUT sorry)
and YTD performance for financials...
As post-FOMC saw stocks losing the most...as bonds rallied...
It would appear that GDP was today's early trigger for the PMs...
FX markets saw USD weakness continue - led by quite serious strength in CHF...which seemed to trigger off the start of bad news from Italy...
Divergence #1: VIX vs Stocks
Divergence #2: HY Bonds vs Stocks
Divergence #3: Credit Spreads vs Stocks
Divergence #4: Gold and Stocks/Bonds
Source: Bloomberg and Capital Context
Capital Context (@CapitalContext) LLC is the leader in integrating credit-market data to actively trade equity markets. From our world-renowned intraday 'CONTEXT' and 'SPY Arb' models to the daily long-short equity portfolio, sector-weight updates and tactical asset-allocation strategies, Capital Context offers sophisticated hedge-fund strategies to the active trading community.
Bonus Chart: RIMMberrrr....
