‘Black’ Monday 2.0

Well that escalated quickly…

It started in FX…

The Dollar (DXY) surged higher again today, extending Friday’s leap, to its highest since May 2002. The Dollar is up a stunning 4% in the last 5 days – its biggest such move since the peak of the COVID Panic in March 2020…

Source: Bloomberg

On the heels of cable’s collapse overnight to record lows…

Source: Bloomberg

And Yuan weakened near record lows…

Source: Bloomberg

Bitcoin managed a solid day amid all the carnage, holding above $19,000…

Source: Bloomberg

The bond market was a bloodbath…

10Y Gilts exploded a stunning 42bps higher in yield today (up 95bps in 3 days) to its highest since Nov 2008… This is th ebiggest 3 day jump in yields ever for Gilts…

Source: Bloomberg

After the Italian election results, the spread between Italian and German 10Y debt spiked above 240bps today – its highest since the peak of the COVID crisis in 2020 (despite ECB’s grand spread-compression ‘tools’)…

Source: Bloomberg

In the US there was an utter bloodletting in USTs around the European close as yields exploded higher…

Source: Bloomberg

2Y is leading the entire curve higher…

Source: Bloomberg

HY spreads are starting to blow out but IG is underperforming…

Source: Bloomberg

LQD – the Investment Grade Corporate Bond ETF – collapsed to its lowest since the Great Financial Crisis today (below COVID spike lows in price)…

Source: Bloomberg

And before we leave bond land, we note tat the market’s expectation of The Fed’s ‘Terminal Rate’ spiked up to 4.85% (in May 2023) today before leaking back a little…

Source: Bloomberg

Equity markets were ‘shook’…

European stocks were mixed with Italy managing outlier gains on such a chaotic day while the FTSE was dumped…

Source: Bloomberg

US futures tumbled overnight amid Cable’s collapse but then ramped vertically at the US Cash open. That all faded quickly into the European close and took us to the lows of the day. With an hour to go, bonds and stocks were suddenly panic-bid…but that didn’t last. The Nasdaq outperformed for a change with the machines trying their best to cling to unch until a last second rug-pull. That is the lowest close for the S&P 500 since Dec 2020.

The VIX term structure inverted dramatically today with VIX itself topping 32..

Source: Bloomberg

And if real yields are ‘real’ then the stock market has a long way to go to catch down to reality…

Source: Bloomberg

Commodities were clobbered…

A strong dollar did commodities no favors with Bloomberg’s Commodity Spot Index hitting its lowest in 8 months…

Source: Bloomberg

Gold puked back to its lowest since April 2020..

Source: Bloomberg

Oil plunged back below $80 (WTI) – well below Putin invasion levels…

Finally, we note that while there was a lot of talk about record put buying on Friday, as Brent from SpotGamma explains below, while this is correct, it ignores the fact that there is also record put selling…

And in fact the extreme amount of put premium sold (covering hedges?) suggests more of a capitulative bottom – as we saw in March 2020…

But who will come to the rescue this time?