ES Once Again Rapidly Diverging From Everything Risky
And so the broader risk basket of AUDJPY, EURJPY, 10Y, 2s10s30s, gold, and oil once again rapidly diverges from the ES, which must mean that Citadel is busy processing FRBNY trade tickets on a FIFO basis. Expect the spread to close (buy the basket in a pro rata basis for an intraday correlation catch up), or not: all depends on just how aggressive Brian Sack is to indicate that life is good, wealth effect is wonderful, and the rapture is overblown. Bottom line: either play both legs outright in a pair combo, or sell ES for a FV 4 points lower.
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