IG trades 7.8bps wide (cheap) to its 50d moving average, which is a Z-Score of 1.3s.d (which is the biggest move through the average in six months). At 109bps, IG has closed tighter on 62 days so far this year (215 trading days). The last five days have seen IG diverging bearishly from its 50d moving average. As an aside, the recent swings in IG (adjusted on-the-run) were from an intraday peak at 114.875 on 10/2 down to an intraday trough at 94bps on 10/15 and now back up to 109bps. Therefore, this most recent sell-off is slower in pace than the capitulative rally (from what seemed a drama-ridden sell-off to that intraday peak thanks to CIT stress) we saw in the first two weeks of Oct.

IG10 joined IG9 today with its 5s10s curve inverting once again and we saw 3s5s flattening a little more in IG13 as IG13 3Y intrinsics underperformed the rest of the curve. Some other notable index RV moves today were the HY9 7Y and HY13 5Y compressed to zero (from over 35bps late last week), Main12 moved back above 90bps (after defending that level for much of the day) as XOver12 has notably underperformed (suggesting compression trade unwinds en masse), HY13-IG13 broke back above 600bps, ITRX FINLs Sen-Sub differential broke back above 50bps, and HVOL9 7Y to HVOL13 5Y moved back above 160bps (10bps wider today). It would appear that notably the last point was evident as HVOL13 outperformed intrinsics and off-the-runs dramatically as we see a move to decompression and roll unwinds.

Indices generally outperformed intrinsics with skews widening in general as IG outperformed but narrowed the skew, HVOL outperformed but widened the skew, ExHVOL's skew widened as it underperformed, HY outperformed but narrowed the skew.

One other item of note is that IG has now made wider tights and wider wides intraday for three days-in-a-row, which led to a short-term peak in spreads on 10/2, 9/2, and 6/23 so empirically we might expect a pause here. However, we suggest that if we see spreads push higher making wider tights and wider wides for more days then this could be a signal that this decompression is more than a trade. It appears that GDP will be the driver of any leg wider from here (if we miss) but we suspect that compression will be less likely on any GDP beat as recent macro data suggests one-off rather than sustainable recovery for now.

A solid 36.8% of names in IG moved more than their historical vol would imply as higher vol names underperformed lower vol names by 5.17% to 4.16%. IG's vol is around 4.38% per 1 day period, which leaves 98 names higher vol and 27 lower vol than the index.

The names having the largest impact on IG are United Parcel Service Inc. (-1bps) pushing IG 0.01bps tighter, and American International Group, Inc.