Ahead of today's very disappointing ADP print, which badly missed expectations of 200K by nearly half, coming at just 117K, the whisper number was far higher, somewhere in the 300-400K range (to be expected following JPM's latest prediction that the US will add 675K jobs per month for the next year), which in turn pushed yields sharply higher ahead of the print.
Alas it was not meant to be, and yields quickly reversed on the far worse than expected ADP report.
But while as recently as last week such a poor economic print would have been sufficient to push risk assets higher, especially with yields lower, today that was not the case, and instead futures tumbled as soon as the flashing red ADP headline hit the tape.
Could it be that we have transitioned away from a "bad news is good news (for markets" regime to a clear cut "bad news is bad news" and why?
One answer comes from our friends at spotgamma who remind us just how difficult it has been for the market to rise above the 3,900 level in the S&P, pointing out that "there seems to be this rather strange dynamic to markets wherein buyers stall out >3900, and light put buyers step in."
Specifically, what happens is that markets shake out, VIX spikes and those short duration put holders close immediately which fuels a retest of 3900. Or as the put it best, "It's as if the SPX return was simply a function of volatility spasms."
Making matters worse, despite yesterday's plunge in implied vol, beneath the market's hood realized volatility remains very high especially since...