With Europe's credit traders on vacation, volumes overall were muted today in Europe but average in the US. The lack of discipline that normally occurs when the credit boys leave the room helped lift sovereign credit in Europe and implicitly US equity futures (ES) into the open today, which marked the top for the day (back in the green after an ugly Sunday night) as dismal macro data dragged debt and and equity markets back down to overnight lows. Credit and equity moved in sync in general but across broad risk-assets, correlations were loose at best as Gold was very stable holding gains from Friday while Silver exhibited its high beta ebullience and Copper and Oil followed stock's path down and back up. Treasuries leaked higher in yield with a steepening in the curve (though 10Y and 30Y outperformed 7Y as the Twist pivot maturity seemed most active). EUR strength was sustained from early morning in Europe with JPY weakness providing some support for stocks but it seemed both VWAP and the 200DMA were the key levels today and despite two stop-runs in the afternoon, we flushed down at the last minute (off near day's highs - thanks to Egan-Jones' UK downgrade news) to close red for ES (2nd day in a row below 200DMA). Financials (which are close to red for the year and about to cross below Healthcare and Staples) did not participate in the swings as much with JPM and MS worst today -3% (with the latter now 25% lower than the March 2009 market trough levels) and the other TBTFs around -1.9%. VIX oscillated rather like ES today - as usual but popped back above 26% to close marginally lower on the day. While correlations did drift today, stocks remain a little too full of hope still against overall risk markets but with UK closed again tomorrow, we may have to wait for Wednesday to see how Europe (and implicitly the rest of the world) feels.

S&P 500 e-mini futures had quite a day. Limping higher from a horrible overnight dip into the US open where heavy volume and large average trade size dominated and pushed the market lower as macro data disappointed. The leak lower progressed until Europe closed and then again we pushed higher on low volume stop-runs each time halted by heavy and large average trade size hitting the tape... the close brought the UK news and snapped ES back below VWAP.

YTD S&P 500 Sector performance... financials converging down to Unch, Staples, and Healthcare

and from the March 2009 market lows, financials' performance is very dispersed... (MS -25% and WFC +206%)

Gold outperformed as the USD leaked back 'down' to resync from Friday's moves. Treasuries are selling off a little but so are stocks as it would appear for now that Euro repatriaton from liquidating US assets is occurring and Gold is benefitting from more safety bod...

HYG remains an underperformer - holding below its intrinsic value - and we worry that this kind of weakness will leak back into real bonds and drive down an already illiquid market as today saw dealer net buying (buy-side net selling) for the first time in a while...

and the hump-shaped move in the Treasury curve was clear as 7Y underperformed 5s, 10s, and 30s...

as 5s7s10s butterfly bounces off record lows...

Charts: Bloomberg