It's 3 O'Clock, Do You Know Where Your Daily Decoupling Is?
Right on schedule, the EURJPY and the ES diverge, providing a favorable entry point for arbitrageurs. With no volume, decreased liquidity, no human traders, and now, the added confusion from China's FX move, this was certainly to be expected. However, while previously at most the relative betas of the two datasets would diverge, today the entire sign seems off. The convergence trade has yet to fail, although after today, this one may be best suited for just those trading (a lot of) other people's money.