by: Tyler Durden
July 25, 2012
With GDP on Friday, FOMC around the corner, month-end T-3 ahead of that, and a market so ultra-sensitive to any and every word uttered from EU leaders, it is perhaps little wonder that volume was lack-luster (and so was commitment with thelowest average trade size of the year) today. What is perhaps most notable about a day when Treasuries ended unch to +1bps and stocks marginally higher is the weakness of the USD (pulling back to unch on the week) and strength in Gold (and Silver). What also surprises is the dramatic rise in correlation across asset classes – suggesting a high degree of systemic preparedness for some ‘event’. Equities leaked higher all night helped by Nowotny’s nonsense, double-topped at around the magical 1340 level once again and ended up pulling back down to VWAP (what a surprise). Financials led along with Industrials (and Utilities!?) as Tech lagged thanks to CRAAPL’s 4.3% loss. WTI staged a solid comeback from earlier weakness but it was Gold and Silver that won (as the former managed to test $1610 – its highest in 3 weeks). The S&P 500 remains very marginally better than the Long Bond YTD as Gold is catching up. VIX dropped from around its ‘fair’ equity/credit price to spur some strength is stocks and ended the day down around 1 vol at 19.4% as ES managed to once again close just above its 50DMA (with heavy volume and large average trade size once again coming at VWAP into the close) perfectly at 50% of the March-to-June swing.