The streak is over…
Small Caps (Russell 2000) was the best performing major US equity market on the month as The Dow and S&P ended red – breaking a 6-month winning streak
VIX was crushed to try and get back to 2173.6….BUT FAILED
Another v-shaped recovery ramp today to VWAP…
On the day stocks ended red – despite the best efforts to get Nasdaq green…
Ramped S&P/Dow into green for the week… (Nasdaq still red)
Financials were the best performers in August (best month since March) despite a collapse in the yield curve… (note Financials jumped on payrolls and on Jackson Hole)
While the S&P had its worst month since January, the broad Bloomberg US Treasury Index suffered its biggest monthly total return loss since June 2015…
Treasury yields were higher across the entire complex (but the long-end outperformed)…
Notably the Treasury curve has now fallen for 4 straight months…to Dec 2007 lows
Rates trod water for the second day (despite the stock slump)…
The USD Index rose on the month (best month since May)… up 3 of the last 4 months… the USD rallied into payrolls, then sold off to The Fed, then rallied through Jackson Hole…
The USD Index fell very modestly today after rising Monday and Tuesday, despite the ongoing collapse in the yen…
Crude was the only major commodity to stay green on the month with silver and copper (2nd worst month in 2016) getting clubbed, and gold down…
But on the day Crude was clubbed even further (back to a $44 handle…)
Crude has retraced around half of its short-squeeze ramp gains…
Finally, one thing that is notable is that the last month has seen correlation across asset classes remains high… but this time it's rolling over – as Global Central Bank balance sheets actually fall modestly in USD terms…
Charts: Bloomberg
Bonus Chart: Meanwhile this is probably nothing – Saudi interbank rates up for the 18th day in a row…
via http://ift.tt/2bHWept Tyler Durden