'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.."
