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Epic Market Closing Ramp Materializes Out Of Nowhere On No Volume, Provides Great RISK-ES Reentry Point

Tyler Durden's picture


The Treasury may be ceasing the incremental funding for its market manipulative ESF.... but not quite yet. Presenting the E-mini surge on absolutely no volume. According to Chicago floor traders, at least one bank bought 150 S&P contracts at very the close with one obvious purpose: ramp the stock market into the weekend. Luckily, for the observant ones this is merely another free money opportunity: the ES-RISK spread just soared and presents the latest compression opportunity.



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Fri, 07/15/2011 - 16:13 | 1460759 bigdumbnugly
bigdumbnugly's picture

oh... that was me.  i bought 100 shares of BOA.

Fri, 07/15/2011 - 16:19 | 1460782 Dr. Engali
Dr. Engali's picture

I just sold 100 shares of BOA. Thank's for the trade.

Fri, 07/15/2011 - 19:18 | 1461176 Problem Is
Problem Is's picture

The TBTF, Wall Street whore, HFTs churned those 100 shares of BankO'AmeriCrap from you e^{fat x} times for "liquidity"...

Before they touched down on bigdumbnugly...

Fri, 07/15/2011 - 19:26 | 1461197 Helena Bonham-Carter
Helena Bonham-Carter's picture

Peas and beans are as dank here as a dog, and that is the next way to give poor jades the bots.

Fri, 07/15/2011 - 16:19 | 1460787 augie
augie's picture

You should add market maker to your moniker, that's big money!

Fri, 07/15/2011 - 16:20 | 1460789 whatsinaname
whatsinaname's picture

BOA showing very strong volume after it hit 9.90. Somebody sold a lot of July strike 10 puts mid-day ??

Fri, 07/15/2011 - 16:27 | 1460800 Dr. Engali
Dr. Engali's picture

Somebody sold  a lot of puts and killed them at the close.

Fri, 07/15/2011 - 16:36 | 1460845 rocker
rocker's picture

You call that strong volume. LOL   ( I hope you were being sarcastic on that thought.)

Fri, 07/15/2011 - 16:54 | 1460910 carbonmutant
carbonmutant's picture

Premarket Monday morning is gonna be interesting...

Fri, 07/15/2011 - 22:40 | 1461514 Manthong
Manthong's picture

Surely Timmy has to have a shoe box stash to keep the skunk works going.

Fri, 07/15/2011 - 16:14 | 1460761 the not so migh...
the not so mighty maximiza's picture

This one is for the Republic!

Fri, 07/15/2011 - 16:14 | 1460765 francis_sawyer
francis_sawyer's picture

Megaphones bitchez...

So is this the point in the Channeling scenario that I'm supposed to buy low & sell high?

Fri, 07/15/2011 - 16:15 | 1460768 Sir Real
Sir Real's picture

The European markets also had a ramp up at the close.  Just another coordinated c#$%^&k or not.

Stay tuned for more happy talk.

Fri, 07/15/2011 - 16:16 | 1460769 Whatta
Whatta's picture

i thunk it was options expiration hanky-panky. silly moi.

Fri, 07/15/2011 - 16:16 | 1460773 Cleanclog
Cleanclog's picture

Consumer sentiment is going to be difficult to fix with manipulated indices now.  Main street, housing realities, and unemployment are the fixtures that influence now.

Fri, 07/15/2011 - 16:17 | 1460777 Jack Mehoff
Jack Mehoff's picture

Not shorting this into the weekend, if a debt deal is struck these markets will soar.

Fri, 07/15/2011 - 16:19 | 1460783 SheepDog-One
SheepDog-One's picture

Yea well have fun betting on that.

Fri, 07/15/2011 - 16:29 | 1460814 Cleanclog
Cleanclog's picture

The military stocks won't soar . . . and a lot of other sectors will be hurt by austerity and government reduction.  But there will be some hopium psychological price lift - just won't be sustainable.  Especially when interest rates begin to rise.  Yep, I wrote that.  If debt ceiling doomsday gets the can kicked, in conjunction with some budget deficit reduction (but no debt reduction for years),  the interest rates are going to creep, then creep some more, and the Fed won't stop it.

Fri, 07/15/2011 - 17:37 | 1461005 Dr. No
Dr. No's picture

I actually dont beleive there will be a deal struck until Aug. 1.  I have heard this and that about deadlines but Aug 2 is the date Timmah said is the last day.  I have no doubt on the 1st they will have some revised spreadsheets things could go another coupel of days, but bottom line, Congress will not deal till the midnight hour.

Fri, 07/15/2011 - 17:46 | 1461027 Cdad
Cdad's picture

It is curious that no one seems to be contemplating the tail risk on this debt issue...namely, that our president actually wants a default and therefore will not sign a compromise bill.

Has everyone forgotten who this guy is? 

Fri, 07/15/2011 - 19:18 | 1461179 JohnG
JohnG's picture

Bernank said buy gold to hedge tail risk.

Fri, 07/15/2011 - 16:21 | 1460778 SheepDog-One
SheepDog-One's picture

So blatant, they dont even care anymore...which should cause far more worry than comfort for the 'positive close into the weekend' pump on nothing.

They think we're all retards, or want to believe that, in which case we're in real bad trouble.

Fri, 07/15/2011 - 22:29 | 1461509 Manthong
Manthong's picture

What? That didn't make you feel all warm and fuzzy with the confidence to win the future by going out there and building stuff and inventing stuff?


Fri, 07/15/2011 - 16:17 | 1460779 Dr. Engali
Dr. Engali's picture

It's always dusk before the darkness.

Fri, 07/15/2011 - 16:53 | 1460909 French Frog
French Frog's picture

"Some say that this may be the lull before the storm
But there's one piece of nature everyone's forgot
And that's, "The darkest hour is always before the dawn!"

off topic, but hey, it's the weekend now

Fri, 07/15/2011 - 17:14 | 1460960 JohnG
JohnG's picture

It's always darkest right before it turns pitch black.


Fri, 07/15/2011 - 18:08 | 1461076 equity_momo
equity_momo's picture

Its always brightest right after a thermonuclear explosion.

Fri, 07/15/2011 - 19:24 | 1461192 JohnG
JohnG's picture

Fun Fact:

This is questionable to be sure.

Fri, 07/15/2011 - 19:37 | 1461221 augie
augie's picture

a little more than just "fun" facts. 

Sat, 07/16/2011 - 04:57 | 1461820 French Frog
French Frog's picture

The BBC at its best ... the joy of watching tv with no adverts at all!

As we have a worldwide audience here at ZH, is there another national tv broadcaster around the globe that doesn't show any advert at all?  

Mon, 07/18/2011 - 08:31 | 1465863 augie
augie's picture

Wouldn't be economically viable. No one puts out media for the good of the people. If people want truth and media companies can make a profit, they will do it. Unfortunately things are so bad people don't want the truth. So we get transformers 3 instead. 

Fri, 07/15/2011 - 16:18 | 1460780 doomandbloom
doomandbloom's picture

CEO of dow jones, publisher of wall street, right hand of Murdoch resigns


Murdoch will now use only his left hand..

Fri, 07/15/2011 - 16:25 | 1460797 cougar_w
cougar_w's picture

Them as gets out early gets out best.

Fri, 07/15/2011 - 16:29 | 1460813 doomandbloom
doomandbloom's picture

resignation letter here....seems he has been deeply hurt...2 weeks after the incident broke...defn hurt

Fri, 07/15/2011 - 16:28 | 1460810 RobertC
RobertC's picture

Where's he going?

Fri, 07/15/2011 - 16:30 | 1460819 doomandbloom
doomandbloom's picture

to prison, we hope..

Fri, 07/15/2011 - 16:24 | 1460795 SheepDog-One
SheepDog-One's picture

Go ahead keep pumping it minions of QE3, nevermind that part about 'market conditions worsening greatly' nah its just all up from here at the end of QE1, 2, 3,... and on the eve of 'even if some debt deal is made, default looms'....nah all clear skies and sparkle rainbows from here on out Im sure. 

Fri, 07/15/2011 - 16:24 | 1460796 101 years and c...
101 years and counting's picture

serious ?, how do i "buy" the risk basket presented here?

Fri, 07/15/2011 - 18:10 | 1461077 equity_momo
equity_momo's picture

Long euro , oil and gold , could short some bonds too.

There are ways to do all of that on the NYSE without needing commodity accounts.

Fri, 07/15/2011 - 16:27 | 1460798 RobotTrader
RobotTrader's picture

My prediction is that O'Bummer will cave in and sign the debt deal, but at the same time he is going to announce a huge jobs bill or some kind of stimulus plan for banks to start lending again.

Maybe it happens over the weekend, but I would not ignore the huge number of stocks that v-bottomed and turned around today right at the 21-day or 50-day EMA.

Every chart-watching hedge fund is going to buy hand over fist next week if we get follow through after today's ramp.

As far as the compression trade, gotta keep an eye on the S & P 500 denomiated in foreign currencies to see if it takes off.

Looks terrible right now, but they could v-bottom these also:

<img src="$spx:FXE,$spx:FXY,$spx:FXC,$spx:FXS,$spx:FXA,$spx:FXM,$spx:FXB,$spx:FXF|D">



Fri, 07/15/2011 - 16:28 | 1460809 fuu
fuu's picture

C and JPM did not perform per your expectations from this morning.

Fri, 07/15/2011 - 16:30 | 1460818 JW n FL
JW n FL's picture

Doing God's Works is not as easy as it looks! cut those double winning tiger blood fuckers some slack!

Fri, 07/15/2011 - 16:30 | 1460820 10kby2k
10kby2k's picture

How many million golfers will they be hiring in that jobs bill and what is the rate of pay?

Fri, 07/15/2011 - 16:31 | 1460821 SheepDog-One
SheepDog-One's picture

'Huge jobs bill and some kind of stimulus to get banks lending again'....right since that nonsense central planning crap has worked so well up to this point and all.

Fri, 07/15/2011 - 16:33 | 1460832 Re-Discovery
Re-Discovery's picture

Good luck with that stimulus call if House Republicans taste Obama's blood.  He'll have a hard enough time caving sufficiently to have them raise the debt ceiling.

I am always amazed at how few people recognize how Washington works.

Fri, 07/15/2011 - 16:42 | 1460869 MrBoompi
MrBoompi's picture

The way it works is we give the public a taste of default, then we'll all be begging for anything and everything, including cuts to entitlement programs and QE3.

It's called The Shock Doctrine.

Fri, 07/15/2011 - 16:41 | 1460865 rocker
rocker's picture

Robo Question.  How's you strong CMA stock going.  A little way back you said it showed great strength.

Fri, 07/15/2011 - 19:23 | 1461189 Problem Is
Problem Is's picture

"My prediction is that O'Bummer will cave in and sign the debt deal,"

Just Political Kabuki Theater
Obama Bin Lyin' will do exactly what the teleprompter tells him to do...

Who's the bitch in the dress now, Barry Soetoro?

If Michelle Robinson-Soetoro hears a comment like "bitch in a dress" somebody is going to get their balls stomped Barry...

Fri, 07/15/2011 - 16:26 | 1460799 Fidel Sarcastro
Fidel Sarcastro's picture

The volume in the pit is always pathetic. That ES ramp, however, was done on HUGE volume.

Fri, 07/15/2011 - 16:27 | 1460808 SheepDog-One
SheepDog-One's picture

Sorry, chart shows no volume.

Fri, 07/15/2011 - 16:46 | 1460870 Fidel Sarcastro
Fidel Sarcastro's picture

dble post -- oops

Fri, 07/15/2011 - 16:44 | 1460877 Fidel Sarcastro
Fidel Sarcastro's picture

SheepDog - I traded it --- there was big volume in the ES.  The pit?  As Tyler mentioned a 150-lot pit order, was dead.

Fri, 07/15/2011 - 17:51 | 1461039 ZeroPower
ZeroPower's picture

Correct, big electronic volume came in.

Whatever, any decent desk can do 500 lots during the day when depth is there. You dont do this on a friday an hour before US close when liquidity is thin.

Fri, 07/15/2011 - 22:05 | 1461474 Rick64
Rick64's picture

 Liquidity is thin on fridays an hour before close? Really?

Sat, 07/16/2011 - 04:28 | 1461810 ZeroPower
ZeroPower's picture

Ah, quite the fine display of sarcasm, pleb.

Sat, 07/16/2011 - 10:44 | 1461984 Rick64
Rick64's picture

 No it wasn't sarcasm. I really don't see any thinning of liquidity on Fridays an hr. before close.

Sat, 07/16/2011 - 10:51 | 1461989 ZeroPower
ZeroPower's picture

Indeed, a one lot can go off pretty well at any point of the session. Quick look at the #ES book on Reuters and youll see the size isnt there.

Sat, 07/16/2011 - 12:35 | 1462082 Rick64
Rick64's picture

 Yes I see what you are saying, I was equating volume with liquidity. My mistake.

Fri, 07/15/2011 - 16:40 | 1460840 Rick64
Rick64's picture

Yes decent volume. (2pm-3:15 pm ET) 441,556 k. 

149,757K of that was in the last 15 min.

Fri, 07/15/2011 - 16:29 | 1460812 JW n FL
JW n FL's picture

But! But!! BUT!! the Cable News said!!

Fri, 07/15/2011 - 16:39 | 1460816 jesus_quintana
jesus_quintana's picture

The Squid bought at least 500 right on the bell (so much for MOC sell imbalance) - though GS, JP and MS were all ramping the last hour - obviously because today's Eco data was so fucking awesome, the Euro bank stress tests were so reassuring and it's all good with the debt ceiling. Interestingly though, they offered them right back straight after, but locals were caught short and buying to cover. Corrupt to the fucking core.

Index (not ES) will open sub-1310 Monday morning, IMHO.

Fri, 07/15/2011 - 16:31 | 1460824 buzzsaw99
buzzsaw99's picture

What is Option Pain? In the option market, wealth transfer between option buyers and sellers is a zero-sum game. On option expiration days, the underlying stock price often moves toward a point that brings maximum loss to option buyers. This specific price, calculated based on all outstanding options in the market, is called Option Pain. Option Pain is a proxy for the stock price manipulation target by the option selling group...

Fri, 07/15/2011 - 16:33 | 1460826 swissinv
swissinv's picture

Following up again on unanswered questions of other users... What are the components and weights for RISK?

Tyler, I think you owe your followers at least a squishy answer if you keep posting this spread. Thx

Fri, 07/15/2011 - 16:41 | 1460864 A_MacLaren
A_MacLaren's picture

+50% of the trade.

Fri, 07/15/2011 - 16:59 | 1460932 economists_do_i...
economists_do_it_with_models's picture

Should he let you bang his wife too?  lol j/k

Be glad he shares the trade idea.  That's more than enough.

Gotta do your own homework.

The components of the indicator have been mentioned numerous times.

Maybe you should visit the site a bit more often.  Don't forget to click on a few ads each time.  :o)

Fri, 07/15/2011 - 17:45 | 1460994 swissinv
swissinv's picture

Mr. economics big mouth, I bet you don't have it too - and yes I was already playing around with the components and backtested various scenarios but there are simply too many possibilities and I even don't know if the mentioned components are right (as components not from Tyler). Apart from that I also doubt the spread is tradeable.

Fri, 07/15/2011 - 17:52 | 1461043 A_MacLaren
A_MacLaren's picture

Swissinv: Here's a link that describes the "Risk Basket":

As a reminder, the risk basket is an optimized non-linear multiple regression over a varying time period (normally less than two days) using between five and eight variables (perceived as carry/risk drivers) to proxy for movements in the S&P 500 mini futures contract (the most liquid equity proxy). The variables include AUDJPY, EURJPY, Gold, Oil, 10Y TSY yield, 2s10s30s TSY butterfly spread, DXY, and 2Y US-EU swap spread. Typically we only use the first five or six with our modeling algorithm trying to find better subsets of data to use as opposed to throwing them all at the wall and seeing what sticks.

More at the link.

Fri, 07/15/2011 - 18:27 | 1461103 swissinv
swissinv's picture

Many thanks McLaren - do you have daily ANOVA table as well;)

My L2 quant knowledge is obviously not sufficent for that regression. Unless this is a HFT quant forum nobody has to tell me that he figured out all regression coefficents by himself.

Most important conclusion is that there is NFW to trade the spread (and with all repect to Tyler's work, posts like "Buy RISK / Short ES" are a little bit more than misleading)

Well, in summary the posted link from McLaren tells you exactly how to trade this thing.

Fri, 07/15/2011 - 23:54 | 1461475 Rick64
Rick64's picture


Fri, 07/15/2011 - 16:32 | 1460827 Stoploss
Stoploss's picture

Like shooting ducks in a barrell.

Fri, 07/15/2011 - 16:36 | 1460844 Undecided
Fri, 07/15/2011 - 16:39 | 1460859 trampstamp
trampstamp's picture

typical ramp up to the fib 6.18 extension(pullback trade) . Notice the resistance it got around 1314.50. Good short for Sunday/Monday if no good news comes up before then.

Fri, 07/15/2011 - 16:40 | 1460862 DarthVaderMentor
DarthVaderMentor's picture

Some Merrill Lynch brokers were jokingly sending emails to HNW clients to love their broker and buy some BAC early this PM.

Be a contrarian! Love a Bank!


Fri, 07/15/2011 - 16:42 | 1460873 SheepDog-One
SheepDog-One's picture

Still the S&P -2% on the week. 

Fri, 07/15/2011 - 16:43 | 1460875 trampstamp
trampstamp's picture

Did you guys do the GOOG trade i recommend a few days ago where I said buy 570 calls on expiration options week? I bought 10 at $1.90 and sold them at $28.00. My 470 puts were shot on site, but who cares. Time to pay off the car!

Fri, 07/15/2011 - 16:59 | 1460930 fellatio is not...
fellatio is not fattening's picture

Congrats on a nice trade, must be a Kia or Saturn  :)   seriously nice way to end the week, for whats it's worth, I bought 10 Platinum Oct futures @ $1756.90 looking at the chart the 2 selloffs in the last month bottomed at 1669, 1710, 1750 all 3 40 points apart so after a rally it would make sense that 1790 would be a logical support and that's quite a way from where we closed at $1765....thoughts?

Fri, 07/15/2011 - 17:47 | 1461031 trampstamp
trampstamp's picture

thanks bud! Since I don't trade Platinum futures the next best thing is looking at the ETF PPLT. It looks close to the CME futures graph on their site. By no means should you take my advice, but I can tell you what I see. Looks like you just bounced off the 6.18(price 176.30) on a pullback that had some nice resistance at that price. It may want to go down to 172.35 to effectively hit the 3.82 first target. There seems to be some good support around that area so you may see a bounce and retest 176.30. Problem is that it broke structure on the big leg down(lower low) so it may want to retest 165.75 or even lower. Then again it may hit some support at 169.75 and bounce back up and retest 176.30 and go higher, but if it does you may see some resistance at around 179.17 since this would be what we call a sell ratio trade. Then again I could be full of it and it goes to the moon! lol

Fri, 07/15/2011 - 16:43 | 1460879 economists_do_i...
economists_do_it_with_models's picture

A debt ceiling agreement will involve some sort of spending/tax concessions, so I don't see it necessarily being something that pushes the market higher.  If anything, the announcement will push things lower with reduced spending and/or higher taxes.  0.003ms of HFT ephoria right at the moment of the news release of course and then look out below...

Is there a way to add an updated image of the risk divergence indicator to the ZH main page?  Just a suggestion...  A tiny streaming chart would be nice, but even if it was a delayed snapshot, something would be better than nothing. 

Fri, 07/15/2011 - 20:11 | 1461282 dracos_ghost
dracos_ghost's picture

Except it will also entail $2.5T in added headroom to be gobbled up by the markets. This huge debt ceiling increase is QE3/Stimulus/OT2 or whatever the fug they call it.

Fri, 07/15/2011 - 16:50 | 1460895 JJSF
JJSF's picture

Much appreciated Tyler.

Fri, 07/15/2011 - 16:59 | 1460927 John McCloy
John McCloy's picture

So like most stock prices this is a false price based upon one fool or bank?

Fri, 07/15/2011 - 17:03 | 1460935 Internet Tough Guy
Internet Tough Guy's picture

Record high in gold?

Fri, 07/15/2011 - 17:08 | 1460943 RobotTrader
RobotTrader's picture

Record high in gold = Record high in global stocks is forthcoming

Fri, 07/15/2011 - 19:51 | 1461253 swissinv
swissinv's picture

yes in gold stocks you mastermind

Fri, 07/15/2011 - 17:09 | 1460945 bbq on whitehou...
bbq on whitehouse lawn's picture

I have a question: What is it that you want?

Such a simple question. Money, power, health or peace. It's all there.

So It comes down to what is it you want?

Humans have the means to bring dream into reality, yet they cant agree on what they want. :P

The Jinn asks the great question? What is your wish?

Get 1000 avatars to agree on a single wish and it shall be.


Fri, 07/15/2011 - 17:12 | 1460955 RobotTrader
RobotTrader's picture

From my buddy MrHanky over at Cap Stool:

"Every asset class higher and the bots are in control of every single market tick each and every day"

Couldn't have said it better myself.


Fri, 07/15/2011 - 17:42 | 1461020 SheepDog-One
SheepDog-One's picture

Figures you take your advice from a talking piece of poop.

Fri, 07/15/2011 - 17:18 | 1460971 No More Bubbles
No More Bubbles's picture

Nearly 20 Million is "Absolutely no volume"????????


ZH is really losing credibility with this kind of BS.

This fake ass stock market is going to break out to new highs and there is nothing anyone can do to stop it.


Enjoy the show.


Fri, 07/15/2011 - 17:46 | 1461026 Double down
Double down's picture

What color is it that is breaking out? 

Fri, 07/15/2011 - 17:18 | 1460972 MrPoopypants
MrPoopypants's picture

I too would like to know.  What constitutes the Risk Basket again?

Fri, 07/15/2011 - 17:23 | 1460984 sbenard
sbenard's picture

I'm so glad the market ended higher today. What with the triple whammy of bad economic news today (higher core inflation, Empire manufacturing tanking, consumer sentiment the worst in 2 years), and a looming US government debt debacle, I was beginning to think that Wall Street's Pollyanna Party had ended at the brick wall of reality! But alas, the fantasy continues for another day!

Fri, 07/15/2011 - 17:27 | 1460991 lieutenantjohnchard
lieutenantjohnchard's picture

bullion holders won't have to sweat the weekend out hoping and praying for a debt deal (won't solve the problems of the usa), jobs bill (as if the government can create self sustaining jobs) or miracle to recapitalize an almost entire bankrupt european continent.

Fri, 07/15/2011 - 17:42 | 1461016 Chasecran
Chasecran's picture

Can anyone tell me what that red metric in the first chart?

Fri, 07/15/2011 - 17:46 | 1461030 ZeroPower
ZeroPower's picture

Its end of day hedges, in case shit happens over the weekend, as it typically tends to.

I.e. hold and amass massive shorts in individual names, hedge those with the most liquid thing you can. Why it was went up so much was precisely because of the low liquidity, any sort of volume will make it go up a few handles which wouldnt happen on a non-friday-hour-before-close session.

Fri, 07/15/2011 - 17:54 | 1461044 trampstamp
trampstamp's picture

Yep, shorts covering for the weekend so this explains the ramp up. Happens almost every Friday. observe.

The bear calvary will back next week to rape and pillage that is if Beeno and company loan us 4T dollars. Then the oso's go back into hibernation for a while.

Fri, 07/15/2011 - 17:53 | 1461038 FinalCollapse
FinalCollapse's picture

If they got inside information, that the debt ceiling deal is imminent, this would explain the ramp up. It will be quick profit by next week.

It could go the other way. Maybe the Treasury cleared their market support account, by buying at the close. Now they sit on millions of: AAPL, SPY, DIA,QQQQ, etc. If there is no deal, then they can easily start selling these. Clearly, there is huge pile of liquidity there, and they can start cashing in. They probably made nice capital gains too, since the 666 bottom. If this is the case, expect big downturn.






Fri, 07/15/2011 - 18:00 | 1461058 Frankie Carbone
Frankie Carbone's picture

Guys, which trading platform is Tyler showing in these pics? Also, I can't find anything on .ESBASKET. I scoured the CME site for it. Thanks. I'm assuming that it's an S&P e-mini opt/fut basket? 

Fri, 07/15/2011 - 18:16 | 1461090 bam_son
bam_son's picture

its a user created formula punched into bloomberg, not  a traded product.  It is made up of several things (i.e., gold, oil, currencies, tres) so go back and search the other posts.  No one in the comments has figured out the exact ration... which is because it is always changing.  It is a hard thing for a retail trader to trade.  Hope this helped. 

Fri, 07/15/2011 - 19:35 | 1461214 Frankie Carbone
Frankie Carbone's picture


Fri, 07/15/2011 - 20:04 | 1461273 equity_momo
equity_momo's picture

Frank , if i recall correctly its the UST butterfly (see here :  )  gold , oil , eur/$ and i think aud-jpy . Could toss Copper in there too probably.   No idea on the ratio .  Work out which are the most influential or have the most liquidity and go from there. Id go with Butterfly - eur - oil - gold.  35-30-20-15  is probably a reasonable split for the 4.

Fri, 07/15/2011 - 19:46 | 1461240 AmCockerSpaniel
AmCockerSpaniel's picture

Thanks... It helped me allot. I searched the net for sometime, and could not find anything. So I just though it was some kind of proprietary thing. Just did not know why it kept being posted here, when only thous on the inside could understand/ use it. I think this could/ is traded, and would not be showing it off. Now having said that; If some of the profits made off it helped pay the light bill for this site, I'm all for it. I'm too old to trade, but not too old to learn..... yet. Hold "GOLD". If you are not making more than the increase in gold, you are risking your money/ wealth. I love this site except for the vulgarity, because it come across as childish to us older readers.

Fri, 07/15/2011 - 20:23 | 1461314 swissinv
swissinv's picture

Just scroll up and look at the great link from mac laren

Fri, 07/15/2011 - 18:45 | 1461125 AldousHuxley
AldousHuxley's picture

options expiration day?

Fri, 07/15/2011 - 18:53 | 1461137 Jovil
Jovil's picture

I was managing an American subsidiary of a successful large US Company in Mexico. It had been a financial turnaround for our team. Cash flow had accumulated in our bank in Mexico and corporate didn’t want the money repatriated to the US. Although we had already paid a 35% income tax to the Mexican government, we would have to pay an additional 30% exit tax to repatriate the money. In addition, we would have to pay high fees for the peso/dollar exchange, in order to make the transfer. The company wanted to expand our successful business and so we decided to keep the money in Mexican pesos to be used for further expansion. One morning, as my wife and I were on a trip driving on the highway, we heard a national message from the President of Mexico, Luis Echevarria, one of the most corrupt presidents in Mexican history. “It is a lie that we are going to devalue the peso,” he said.

Fri, 07/15/2011 - 19:28 | 1461202 dcb
dcb's picture

hello, I have gone on record on this site about closing shorts on thursday, and potential buy in at the close friday. the markets like a behavior over the weekend. we could go up to tuesday maybe (LOL). It's not like the same thing doesn't happen week after week, after week.  I have also contacted as many market makers to figure out how futures open. s far as I can tell the last hour has a big influence. I have asked ZH to try and find the reasons the market opens etc, the next day based upon many factors. AH couldn't help me, and despite a year of searching to figure out just ho the level at the opening bell is determined nobody can give me an answer. We talk about manipulation during hours, but I am convinced most of the manipulation happens after hours when the public isn't involved. I consder this the new frontier for investigation as it is clear to anyone who trades, this is where things are the most fucked up.

Fri, 07/15/2011 - 22:33 | 1461512 Rick64
Rick64's picture

AH couldn't help me, and despite a year of searching to figure out just ho the level at the opening bell is determined nobody can give me an answer.

The ES is 24 hrs. a day from 5:00 p.m Sun. to Friday 3:15 p.m. . It opens on Sun. at 5:00 p.m. at the price it closed on Fri. at 3:15 p.m. Although there are breaks (1-15 min. and 1-30 min.) it trades for 23.25 hrs. a day and opens at the price it closed at before the break. 

 I'm not sure if thats what you were asking.

Sat, 07/16/2011 - 12:09 | 1462055 dcb
dcb's picture

I don't seem to be able to trade it, or get charting, etc. any suggestions I think it would improve my returns

Oh usually the better time to start your short is at the close monday.

Sat, 08/13/2011 - 10:47 | 1556999 Rick64
Rick64's picture

You should be able to chart it on any account you have with a brokerage, but the first symbol might be slightly different in each. For example on Think or Swim (TOS) the symbol is /ESU1 the last two symbols denote the quarter of that year so this quarter would be /ESU1.  On TOS you need to put the slash before the symbol, other brokerages might have a dollar sign or some other symbol or just ESU1. Check with your brokerage. To trade the ES you need to set up a futures account. It will be seperate from your stock trading acc. and some brokerages don't offer this. There are brokerages that specialize in futures and offer lower margins as well as lower fees for trades.

Fri, 07/15/2011 - 20:18 | 1461295 c-rev with a twist
c-rev with a twist's picture

150 e-minis is not epic.  Yes, it's on low volume, but the banks trade SPs, not ES.

Fri, 07/15/2011 - 20:28 | 1461330 ebworthen
ebworthen's picture


I knew someone was fluffing the markets last hour; must be a talented mouth.


Fri, 07/15/2011 - 23:01 | 1461561 silvershadow
silvershadow's picture

Here's a crack at common questions related to this recurring ES-RISK post. 

The chart is attributed to the guys at, they are the authors of the chart.  A Bloomberg terminal is used to create the chart, as well as the custom basket of risk assets (as described in this article

The two tickers in the chart are the custom basket (.ESBASKET) and ESU1, the S&P500 E-mini future.  .ESBASKET can be created using the CIX function on Bloomberg (Custom Index) and the chart using the Bloomberg "G" function and creating a custom graph (choose the setting for multiple securities).  Sorry homegamers but this level of analysis and graphing can't be done without a Bloomberg or comparable platform (excel maybe, if you've got a lot of time on your hands and some good programming skills combined with real time data feeds for all the input prices of the basket).

Lots of questions about how to trade the divergence between the two assets (the basket vs. the index future).  First, you have to know the components of ES BASKET....which is a proxy for "Market Risk" and the weightings of the components in the basket.  It looks like Capital Context does ongoing regression analysis of the relationship between the Risk Assets and the S&P 500 future and comes up with daily weightings for the basket based on these results.  So, if you want to replicate the chart exactly using a Bloomberg Terminal, give them a call. 

Next, you've got to buy one leg (typically the risk basket) and sell the ES Future short.  In my opinion the closest a homegamer can come to doing this would be to buy 1 gold future, 1 Euro Future, 1 10 year Treasury Future, 1 Crude Future, 1 Australian Dollar Future, and short one Japanese Yen Future (to create the AUD/JPY currency pair in the Risk Basket).  This would result in about 500K USD in long risk exposure (the total of the notional value of all the future contract components of the risk basket).  The short S&P Emini leg of the spread would be accomplished by selling short 8 SP e-mini contracts.  You would do this when the spread between the two assets widens to 10 S&P points, as is recommended each time this opportunity is posted on Zero Hedge.  You close out the trade when the two re-converge.

Of note, the basket above excludes the 2yr10yr30yr butterfly and the EUR/JPY exposure mentioned in the Capital Context article.  I've been playing with this for 2 days on my bloomberg terminal trying to replicate their results (without all the regression analysis yet - just simple weightings of the various components of the risk basket). 

Hope this helps.  Hats off to the Capital Context guys, and also to ZH for continuing to post.  The persistence of divergences between the two assets are telling - especially when SP trades higher than the risk basket - shows onesided flows and potentially manipulative activity. 




Mon, 07/18/2011 - 12:56 | 1465354 FUN160
FUN160's picture

In my opinion the closest a homegamer can come to doing this would be to buy 1 gold future, 1 Euro Future, 1 10 year Treasury Future, 1 Crude Future, 1 Australian Dollar Future, and short one Japanese Yen Future (to create the AUD/JPY currency pair in the Risk Basket).

When you sell the ES for the risk-off side of the trade, shouldn't you also be SELLING 10-year Notes for the risk-on side of the trade?

Fri, 07/15/2011 - 23:08 | 1461568 firstdivision
firstdivision's picture

I'm beginning to wonder if that was a hedge for a large short play that someone is betting on. I cannot wait til the news flow hits Sunday.

Fri, 07/15/2011 - 23:24 | 1461598 newstreet
newstreet's picture

As usual, Robot's comments are the only ones worth a rat's ass here.

Carthago delenda est.

Sat, 07/16/2011 - 12:50 | 1462101 reddragonleo
reddragonleo's picture

Looks like typical option expiration manipulation too me.  The gangsters always pin the SPY at a level that allows them to pay out the least amount of money to put and call holders, making the strike prices with the highest open interest expire worthless.  It happens on the 3rd Friday of every month.  More and more people are waking up and seeing it now, but they don't care... they will still do it.  After all, once a thief, always a thief.  The little guys always lose, as the gangsters continue to steal their money time and time again.

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