Decoupling Spread Closed, Or 6/6/6.5
The most recent iteration of the ES-EURJPY decoupling trade spotted on Friday was a little stubborn going into Friday's close. We were almost worried we may lose this guaranteed money maker for a second. Those worries are now gone: this is the 6th time the observed risk-FX docoupling trade has closed in 6 observations, and in 6 (and a half) trading sessions. With cumulative P&L over the past week starting to become material, on a standalone, unlevered and/or annualized basis, we are stunned that this trade continues to manifest itself with such regularity.