Despite a late-day surge on chatter from Fed's Williams, equities could not catch a bid. VIX was plundered for protection, surging to the highs of the year (above 16%) as S&P futures saw the biggest volume of the year as they held below the lowest uptrend-channel from the November lows. The Dow and the S&P bounced off unchanged for the month of Feb but the Nasdaq remains red - Materials are down over 3% as Staples are up 3% on the month (Tech/Disc/Energy unch). Gold and Silver managed solid gains on the day even as the USD pushed higher (up over 1.1% on the week even as JPY strengthens) and Oil and Copper had notable down days. Treasury yields slipped lower (-3bps) and credit markets underperformed stocks. The S&P is back at its 2011 highs in terms of Gold, and rolled over today. Cross-asset-class correlations rose all day as broad risk-off was very evident. We suspect the drop in the VIX into the close was short-term protection unwinds along with actual exposure reduction (which we saw at VWAP).
S&P futures lifted on Fed's Williams jawboning desperation but faded back below VWAP into the close on huge volume...
S&P futures lost the low end of their uptrend...
VIX has surged in the last two days - even with the pull back in the last hour...
but it appeared like this was short-term protection being unwound as underlying portfolios were right-sized. Materials are suffering in February and Staples doing great (for now)...
Credit and equity continue to converge...(though we note the last time HYG's intrinsic value was bid like this - red oval - we saw it drop back quickly also)...
Oil and Silver have recoupled on the week as the PMs rallied on the day...
even as the USD pushed higher - though flatlined for most of the US day-session... (up is USD strength on the chart)
Seems we await China/Japan once again tonight for follow-through..
Charts: Bloomberg and Capital Context
Bonus Chart: It seems the equity market priced in real terms has found a ceiling for now...
