Spreads improved (tightened) across the board as all the indices rallied today (as a late day sell-off in stocks dragged a short-squeezed IG off its tights). Indices typically underperformed single-names with skews mostly narrower as IG underperformed but narrowed the skew, HVOL underperformed but narrowed the skew, ExHVOL intrinsics beat and narrowed the skew, XO underperformed but compressed the skew, and HY outperformed but narrowed the skew.

The names having the largest impact on IG are Hartford Financial Services Group (-47.13bps) pushing IG 0.37bps tighter, and CIT Group Inc (+23.46bps) adding 0.12bps to IG. HVOL is more sensitive with Hartford Financial Services Group pushing it 1.64bps tighter, and CIT Group Inc contributing 0.56bps to HVOL's change today. The less volatile ExHVOL's move today is driven by both Constellation Energy Group Inc. (-25bps) pushing the index 0.25bps tighter, and Loews Corporation (+1.5bps) adding 0.02bps to ExHVOL.

The price of investment grade credit rose 0.19% to around 98.12% of par, while the price of high yield credits rose 1.09% to around 80.22% of par. ABX market prices are higher (improving) by 0.38% of par or in absolute terms, 0.68%. Broadly speaking, CMBX market prices are higher (improving) by 0.32% of par or in absolute terms, 1.06%. Volatility (VIX) is down -1.44pts to 28.8% (we hear outright vol sellers into the holiday, cyclical drops in vol pre-summer, and dispersion traders selling index vol/buying single-name vol), with 10Y TSY selling off (yield rising) 0.9bps to 3.24% and the 2s10s curve steepened by 3.4bps, as the cost of protection on US Treasuries fell 2.75bps to 35bps. 2Y swap spreads tightened 0.8bps to 36.5bps, as the TED Spread tightened by 5.1bps to 0.58% and Libor-OIS improved 3.3bps to 54.6bps.

The Dollar weakened with DXY falling 0.71% to 82.082, Oil rising $0.62 to $59.65 (outperforming the dollar as the value of Oil (rebased to the value of gold) rose by 0.27% today (a 0.34% rise in the relative (dollar adjusted) value of a barrel of oil), and Gold increasing $7.1 to $925.35 as the S&P is down (906.6 -0.06%) outperforming IG credits (143.5bps 0.2%) while IG, which opened tighter at 145.5bps, underperforms HY credits. IG11 and XOver11 are -5bps and -32.5bps respectively while ITRX11 is -9bps to 126.5bps.

The majority of credit curves steepened as the vol term structure steepened with VIX/VIXV decreasing implying a more bearish/more volatile short-term outlook (normally indicative of short-term spread decompression expectations).

Dispersion fell -1.3bps in IG.