Two interesting charts indicate that following the earlier S&P announcement, which for the first time saw a risk aversion reaction that resulted in a selloff in equities and bonds, the 10 Year is surprisingly rich to the ES. In fact, a quick look at the chart below shows that while most asset pair (FX, Crude, ES) continue to correlate tightly following the downgrade, the 10 Year point is a major outlier. What is even more curious is that while the 10 Year may be outlying notably, the actual curve itself, as depicted by the 2s10s30s continues to correlate perfectly with ES despite some earlier choppiness. For those so inclined, an appropriate convergence trade would be a 2s10s30s neutral: essentially locking out for parallel curve shifts to moves in the ES, while trading the 10 Year spot for a compression trade with the ES, but keeping the wings of the butterfly constant as both the ES and the 10 Year is bought. This trade makes even more sense if the Fed proceeds with one of its late MOVE dumps, whereby it sells vol via off-balance sheet SPVs.
Cross asset correlation: