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Intraday FX-Risk Divergence Is Back, S&P 8 Points Rich

Tyler Durden's picture


Now that DE Shaw and Citadel are pretty much without a stat arb desk, daily divergences are likely to become the norm. To wit: after we highlighted the complete breakdown in correlations earlier, this afternoon's sell off in the AUDJPY has left the S&P/ES roughly 7 points rich. For those who are still stupid enough to actually trade, a pair trade convergence may make some sense here: buy AUDJPY, sell ES. And use lots of leverage: after all, becoming TBTF is every schoolboy's dream. If going down, make sure you drag the entire system with you.


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Tue, 10/19/2010 - 13:57 | 661915 Mr Lennon Hendrix
Mr Lennon Hendrix's picture

"Like TBTF, I want to be like TBTF."  "Hey kid, drink your Gatorade to replenish your lizard brain to give you an inferiority complex due to mercury poisoning, and you will be like me.  Now run along and go foreclose on somebody...anybody."  The kid runs away singing, "Like TBTF, I want to be like...."

Tue, 10/19/2010 - 13:57 | 661916 99er
99er's picture

Chart: ES and ZB

So Lockhart...$100 billion per month, eh?


Tue, 10/19/2010 - 14:05 | 661955 HelluvaEngineer
HelluvaEngineer's picture

Market falling apart.  I'm short BIDU from 102.  Pray for me.

Tue, 10/19/2010 - 14:06 | 661963 firstdivision
firstdivision's picture

....aaaannnd it's gone.  That closed pretty quickly.

Tue, 10/19/2010 - 14:11 | 661990 99er
Tue, 10/19/2010 - 14:22 | 662057 Johnny Yuma
Johnny Yuma's picture

Major breakdown today. ES fallen well below supporting trend line of it's rising wedge. Divergences across the board were screaming for days for attention.

Tue, 10/19/2010 - 14:11 | 661994 Bill Lumbergh
Bill Lumbergh's picture

Benny, crank up a double secret probation POMO starting on my command 3, 2, 1...

Tue, 10/19/2010 - 14:11 | 661997 bob_dabolina
bob_dabolina's picture

Ooooo look at that SPY

This is a healthy market.

Tue, 10/19/2010 - 14:14 | 662007 TooBearish
TooBearish's picture

Will be denied shortly - only because I'm very cynical


Tue, 10/19/2010 - 15:05 | 662082 fuu
fuu's picture

Anyone having trouble with kitco live charts today? It is like their data feed is dead. The last shot I saw showed a flat line in price.

Tue, 10/19/2010 - 14:29 | 662097 99er
Tue, 10/19/2010 - 14:42 | 662161 Rasna
Rasna's picture

Recall the scene from Ulysses:

He as told his men to put wax in their ears and to cover their heads lest they fall prey to the ES..... errrr.. Sirens.

He, meanwhile, has himself lashed to the mast so that he could hear their call... Falling under their spell, he calls out to his men, "alright lads, steer into port, all's well".. he doesnt see the reefs.

So, Nice sell off!... My guess is that it's to shake out the weak longs andthen, PM ramp up...

I bought the 59 halves with a real close stop... We'll see if my theory holds...

Where am I wrong?  If 57 half is taken out with conviction.

Tue, 10/19/2010 - 16:02 | 662416 Rasna
Rasna's picture

I'm out...

+3 on the 59 halfs

+6 on the 56 quarter (I added this trade when I saw that the shorts didn't have much conviction at the bottom)

Tue, 10/19/2010 - 15:14 | 662264 prophet
prophet's picture

An SPX close under 1165 or so and certainly at 1154 (max down day level) may make for a down POMO day tomorrow.  After all they need the POMO money to buy back the mortgages instead of buying APPL. 


Tue, 10/19/2010 - 18:16 | 662891 ZeroPower
ZeroPower's picture

Now that DE Shaw and Citadel are pretty much without a stat arb desk,


I hear theyre presently hiring various quants for NY and something new in London..

Sat, 11/13/2010 - 08:33 | 724528 mark456
mark456's picture

Thanks for taking the time to discuss this, I feel strongly about it and love learning more on this topic.
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