The Amazing(ly Profitable) Intraday Risk Divergence-Compression Trade Strikes Again

Tyler Durden's picture

Increasingly more people are starting to outwit the Fed at its own game, which appears to have run out of sufficient capital to manipulate all risk assets (troubles at Citadel?), and thus is forced to focus exclusively on the E-mini. While not pointed out explicitly today, those who were following the trade were presented with an amazing opportunity to pick several basis points when ES once again ramped away from the risk basket (AUDJPY, EURUSD, 10 year, 2s10s30s, Oil and Gold) following the more than obvious buy program attempt to triggers stops, only to slam back with a vengeance and close the gap at close. Like clockwork. The trade continues to be an ideal play for everyone who wishes to remain bull/bear agnostic, and merely trade against Brian Sack's increasingly desperate and underfunded attempts at risk manipulation.

A classic case of open and shut failed divergence:

And the more than obvious attempt to gun the market at 3:06 pm. Rejected.

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mynhair's picture

Was waiting for this article.  Thanks to you, I'm learning a new trick.

redpill's picture

OT: The Eastern Black Swan Continues to Gain Altitude

Record high radiation detected in Fukushima Reactor 1 DRYWELL, 204 Sieverts/Hour.  Yes, that's sieverts, not millisieverts!

treemagnet's picture

If it feels good, do it.

AldoHux_IV's picture


Both very profound and hilarious at the same time-- well played Mauer.

Gubbmint Cheese's picture

how would a retail minion play this?

buzzsaw99's picture

buy at 2:17 p.m. daily then sell the blip?

mynhair's picture

Trust you to blow smoke thru my months of jury-rigging.  Though sometimes it's best to buy 40 minutes after a bond auction.

mynhair's picture

You have to define surrogates for all the Gloomberg terminals can show.  I'm just hopefully getting the hang of it by keeping the FX list up, with whatever I can find for ES, and volume for 1 min SPY.

buzzsaw99's picture

Don’t go to bed with no shorts on your head

Don’t do it

Don’t do the crime if you can’t do the time

Keep your eye on the sparrow

When the ir spread gets narrow

Don’t roll the dice if you can’t pay the price

Don’t do it

Don’t run your feet down a dead end street

Don’t do jpm dirt or you’re gonna get hurt

Don’t do it

Don’t run away ‘til you hear what I say

Ain’t gonna fight with no squid in the night

Won’t do it

I’m gonna go where the FX wind don’t blow

mynhair's picture

O, stop it!  Time to clean the screen again, dammit.

Muir's picture

Mr. Buzz

Hat tip, my good sir.

carbonmutant's picture

This has potential...

ramps away from the risk basket are shortable...

Muir's picture



"This has potential...

ramps away from the risk basket are shortable..."


me likes

(and well said by mutated non-organic life form)

(carbon non-mutant)

Cognitive Dissonance's picture

Increasingly more people are starting to outwit the Fed at its own game, which appears to have run out of sufficient capital to manipulate all risk assets......

Sounds like an argument for QE 3 cubed.

silvertrain's picture

"dont fight the fed" script has been flipped..The inmates are taking over the prison...

oogs66's picture

how do you make the riskbasket in bloomberg?  would like to replicate

mynhair's picture

If you have that much in FRN's, why aren't you in gold?  It ain't Gloomberg.scam ya know.

AldoHux_IV's picture

Hope that gold/silver breakaway from the risk on/off trade correlation.

FunkyMonkeyBoy's picture

Here's a question:

If QE3 is announced, just as the previous QEs have been... everyone will front run it and go strong and long equities, like they did for QE1, QE2... so, if there is no one short in the market... will the market still go up?

Surely, with everyone long and no one short, the market is more likely to go down on more QE announcement, no? Not possible for everyone to be on the winning side, and more likely that the majority lose... so if the majority are long, the market will need to make them lose by tanking, no?

mynhair's picture

Why sell while the helicopters are orbiting?

silvertrain's picture

They may try to ramp this bitch with RUMORS OR LEAKS of a possible qe3.There you may have itchy trigger fingers who try to front run it..Just the talk may keep the shorts on there toes..Desperate people do desperate things so I would expect the unexpected..

ebworthen's picture

Ben doesn't have to say he is going to pull a rabbit out of a hat; he might do the endless multi-colored handerchief out of his sleeve, or the rope in the palms knot trick.

What is shown and not shown - and where attention is drawn or diverted - are equally important to the illusionist.

ml8ml8's picture

This bodes poorly for Mr. Market.

tnfcfa's picture

What is the Bberg symbol for the 2s10s30s fly?

jesus_quintana's picture


2 * USGG10YR Index - USGG2YR Index - USGG30YR Index


Anybody help out on how to replicate this risk basket as a CIX in Bloomberg? Comment below that Tyler posted the calc yesterday, but I can't find it anywhere...

Rick64's picture

 Excellent trade idea. Good work ZH

Muir's picture

second Mr. Rick

good work ZH

JW n FL's picture

Playing with the FED's ability to provide Liquidity is like playing with Fire! I Luv ALL My Bro's here so please exercise due care.

JW n FL's picture

if you are shorting America! you are shorting yourself in the long run! dont get caught shorting anything, except oil! LOL thats FED Approved!

mynhair's picture

No, I'm shorting YOU!  Always talking to yourself.....

JW n FL's picture

silver is almost $40.. time to short silver too.. I hear the FED's foot steps! he's coming!

mynhair's picture

Short Ag my ass.  Well, until TCT gets back in ZSL that is.

PhattyBuoy's picture

Isn't hoarding PMs the same as shorting the printing press du jour ...

How about those Canucks!

JW n FL's picture

those canadians have to much PM's.. I think if the lights go out I will need to go north and help lessen their load, considerably!

Just kidding! they will need rum! I can trade for it!

PhattyBuoy's picture

A Rum Swizzle for Labatts Blue trade ... nice.

JW n FL's picture

lol.. no, no my friend.. we will need some shiney beeds of silver and gold for my chest! I have a war to fund!

mynhair's picture

Ok, here comes FX restart.

Moog's picture

Many ETFs and stocks ramped higher in response to the futures ramp.  How do you eliminate the possibility that a big player ramped the futures so that they could dump their ETFs and/or stocks at a higher price?

mynhair's picture

Pump it up, then dump.  3 day settlement for profits.

ebworthen's picture

Have you ever seen killer whales herding penguins or wolves herding sheep?

Franken_Stein's picture


You are arbitrageurs.

mynhair's picture

Better than being poseurs.

mynhair's picture

Ya baby!  Sell that USDHUF!

RobotTrader's picture

1 month of gloom and bad news and S & P 500 down 37 pts from cash closing highs

I'm just speechless how this has held up after the greatest 2 yr run in U.S. stock market history with tons of bad news hitting daily.

Retail stocks like AZO, now nearly $300/share just 2 years after the biggest financial bust in 50 years.

Just shows the raw power of "ZIRP" policy and TPTB which simply will not allow stocks to drop.


mynhair's picture

Yep.  Now prepare for the hit posts.  I became speechless after losing 30K to this shit.