'Good' news from TSMC trumped yesterday's ASML bad news and a solid Philly Fed print helped juice stocks early but under the hood of the Philly Fed data was soaring inflation expectations, which along with general derisking sent stocks lower.
..
Source: Bloomberg
Small Caps were the day's biggest loser - with a major swing intraday as they tried to ignite a squeeze at the open (from +1% to -2% intraday). The rest of the majors were all red. A late day rally put some lipstick on the pig but it wasn't pretty...
Bear in mind that - thanks to that late-day pump - we missed a historical event today in the S&P 500 - going back to the start of 1928, the SPX has never followed an all-time high with two consecutive losses of 1% or more.
Goldman's trading desk notes that volumes continue to be elevated (tracking +14% vs the trailing 20 days). Our floor is skewed +2% better to buy with HFs driving most of that.
-
HFs are buying consumer discretionary and industrials vs selling tech for the 2nd day in a row.
-
LOs also better to buy but activity from the group feels quieter than yesterday. LOs selling tech + Hcare vs buying fins.
'Size', 'Momentum', and 'Quality' were clubbed like a baby seal:
-
The ~6% drop in the Size factor (GSP1SIZE Index) is biggest since May 2020 (small outperforming big)
-
The 5.7% drop in Barra Momentum (GSP1MOMO Index) is is largest since Feb 2023 and the biggest drop since the factor began its ascent in Jan 2024.
-
The 4% drop in Barra Quality (GSP1QUAL index) is nearly as extreme as December 2023, and the uptrend since 2021 appears broken.
Value dominating Growth (though both were sold today)...
Source: Bloomberg
Equal-weight S&P continues to play catch up to cap-weight...
Source: Bloomberg
MAG7 stocks tumbled (once again) to their lowest in a month...
Source: Bloomberg
'Most Shorted' stocks suffered their second straight day of sizable losses as the Small-Cap squeeze ran out of ammo...
Source: Bloomberg
While equity vol (VIX) has angrily awoken from its slumber, bond vol (MOVE) has not... yet...
Source: Bloomberg
Bonds were dumped alongside stocks today with the whole curve up 3-4bps, back higher on the week...
Source: Bloomberg
Gold joined the selling party today, dropping back below $2450...
Source: Bloomberg
Choppy day for crude prices but WTI ended lower, struggling to hold $83.50...
Source: Bloomberg
Despite more ETF inflows, bitcoin suffered some more pain today unable to hold $65000 - but again, significantly less 'beta' to the general plunge in tech...
Source: Bloomberg
Finally, as everything else was sold, the dollar surged higher - unwinding all of the week's losses...
Source: Bloomberg
Finally, Biden seeing more red today as his odds of getting the Democratic Party nomination collapse...
Source: Bloomberg
Kamala for the win, "unburdened by what has been.."