It's 3 PM - The Daily "Free Money" Arb Is Here
As we enter the last hour of trading, the daily late trading divergence we have grown to love and expect every single day in this broken market, is back. Using an FX basis for funding mismatches, the ES is about 10 points rich to "fair value." Should this spread close, it will indicate that FX is still at least a marginal player in determining stock levels, as opposed to putting full weight on the previously discussed butterfly (2s10s30s). Keep and eye, and in the meantime putting on a convergence trade would seem sensible.
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