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Risk Parity Plunge Continues: Stocks Down, Bonds Down, VIX Down, Fed Up

Monday, March 13, 2017 13:57
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There’s a lot of risk assets falling apart behind the scenes…

The ongoing plunge in Risk Parity fund deleveraging…

Is now weighing on more asset classes as Stocks, Bonds, and VIX all drop (ahead of The Fed on Wednesday)

And EM stocks, crude, high yield bonds are all tumbling…

The S&P desperately pushed into the green towards the close; Dow red; Nasdaq and Small Caps were best (helped by the INTC M&A)

VIX was a one-way trip from the US Open – non-stop driuft lower which also saw stocks falling with it into the European close…

Breadth remains very weak…

Of course the big news in equity-land was the acquisition of MBLY by INTC… (which smashed MBLY shorts and sent the stock up to Aug 2015 highs)

The credit canary in the coalmine is starting to die…

Bonds and Stocks continue to be sold together…

Treasury yields inched higher once again to the post-Fed rate hike highs (lots of chatter of pre-Blizzard, pre-Fed corporate issuance weighing on TSYs)

The 10Y Yield seems fully loaded for this hike…

And 30Y closed just shy of 3.20%

The Dollar Index traded very sideways today with overnight weakness giving way to come buying during the EU session…EUR weakness offset Cable and AUD strength

Notably the USD index is hovering back at the levels pre-December rate hike…

Gold scrambled above $1200 but Silver couldn’t hold $17…

WTI and RBOB drifted lower

But NatGas (NY) soared amid the blizzard…

Finally, Bitcoin managed to recover its ETF-Denial losses very quickly and surged back above gold…


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