It's hard to appreciate just how different the trading session was for stocks compared to bonds.  To be sure, a near 5bp drop in 10yr yields is "nice," but it pales in comparison to the amount of movement suggest by or seen in equities markets.  In the following chart, S&P futures daily candlesticks are on the bottom while 10yr yields are on the top.   

Much of the day's intraday movement was well-correlated, and that's not too surprising given the magnitude of stock losses.  It's on these kinds of days where we're most justified in expecting some of that classic "sell stocks, buy bonds" type of spillover/correlation.  

Movement in related markets like European bonds and $/Yen suggests that stocks were the star of today's show.  In other words, this wasn't a universal "risk-off" trade, necessarily.  Rather, it was a stock-centric risk-off trade with minimal relative benefit for the typical risk-off beneficiaries. 

Bonds had their own reasons to rally regardless of stocks.  The morning's PPI data was weak enough to raise some eyebrows.  Core annual PPI fell to 1.7 versus a median forecast of 2.1 and a previous reading of 1.9.  PPI is nowhere nearly as important as CPI, but this certainly didn't hurt bonds in the morning.

The afternoon brought an exceptionally strong 30yr bond auction.  Rates responded positively, but seemed to be intent on remaining above the 2.21% technical level in 10yr yields.  It wasn't until stocks really took a nosedive in the late afternoon that bonds grudgingly trickled down below 2.20% before bouncing back above to end the session.  

All eyes remain on tomorrow's CPI data when it comes to confirming or rejecting today's preliminary break outside the recent range (note: given that the break didn't happen until after the 3pm CME close, some technicians wouldn't officially see today as a break, but it doesn't really matter.  Bonds rallied, and CPI needs to be weak if they're going to rally some more tomorrow.  Either that or stocks need to put in a repeat performance).