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Recent Risk Spread Dispersion Closes As Algos Bid ES Higher

Tyler Durden's picture




 

The ES-Risk spread, so closely followed by so many recently, has now closed. Following the major divergence yesterday when the ES plunged but was not nearly followed as closely by the broader risk basket aggregates. Well, following today's relief rally in the S&P, the spread has now closed as always seems to happen eventually. What happens next is anyone's guess as ES appears fairly priced from a 3 day regression perspective (although very rich on an intraday basis).

 

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Thu, 06/16/2011 - 12:07 | 1374772 Cognitive Dissonance
Cognitive Dissonance's picture

Missed it by [ that ] much.

Thu, 06/16/2011 - 12:11 | 1374775 LRC Fan
LRC Fan's picture

What happens next is more printing $. 

Thu, 06/16/2011 - 12:09 | 1374787 SheepDog-One
SheepDog-One's picture

I hope they do print faster, hasten the inevitable coming dollar crash and shoot up that gold. Go for it Ben, I've been daring ya.

Thu, 06/16/2011 - 12:18 | 1374803 baby_BLYTHE
baby_BLYTHE's picture

or they could play it smart (before they print the currency into destruction) for once and simply revalue the price of gold in correlation to the supply of bennies floating around the world.

Of course that means 5 digits for an ounce of gold

Thu, 06/16/2011 - 12:17 | 1374807 Arius
Arius's picture

well..."its complicated"...

thats the new key word replacing "conundrum"

Thu, 06/16/2011 - 12:11 | 1374791 qussl3
qussl3's picture

Feels damn quiet, almost as if noone dares buy or sell.

 

Thu, 06/16/2011 - 12:25 | 1374822 Putty
Putty's picture

Melt up

Thu, 06/16/2011 - 12:27 | 1374834 Arius
Arius's picture

almost like a deer staring at the coming car...

they know they should not buy, but are afraid to sell....because what will you do with the cash??? decisions....decisions...thats why some will survive and prosper but the most of them will lose their jobs...

Thu, 06/16/2011 - 12:51 | 1374935 Takingbets
Takingbets's picture

I remember the markets would stay quiet in 2008 and then at the end of the day all the sellers would jump in and send it deeply in the red. Oh, the good o'l days when you could make money shorting without the burn. ;-)

Thu, 06/16/2011 - 12:12 | 1374797 SheepDog-One
SheepDog-One's picture

Lets see, they want the stocks lower so they can justify more Hefty bags full of free crack rocks for the banksters, but are nervous as hell about letting stocks go down because its likely non recoverable this time. And if all the 401K Bathrobe Brigades got nervous and tried to dump to a bidless market then it would REALLY be out of control.

Ball is in your court Ben, what ya gonna do?

Thu, 06/16/2011 - 12:15 | 1374804 falak pema
falak pema's picture

Ben must be dreaming to be in NAdal's shoes....

Thu, 06/16/2011 - 12:13 | 1374799 AldoHux_IV
AldoHux_IV's picture

Looks like correlation just hit 1 again, so looks like paper pm's will follow the lead of worthless assets.

Thu, 06/16/2011 - 12:29 | 1374818 Monedas
Monedas's picture

100 million horse 'n' buggy hoarders, worldwide, will bring the Fed, Bernanke and the Crimex to their knees ! You sophisticated traders prolonged the agony ! Enabler Bitchez ! Monedas 2011 Shucks Ma, it was nuthin' !

Thu, 06/16/2011 - 12:24 | 1374819 tempo
tempo's picture

major resistence spy @128. Upside from here only $vix goes negative and FXE goes positive. IMHO, FXE drops to 139+ and spy to 125.5

Thu, 06/16/2011 - 12:27 | 1374836 Gold Man-Sacks
Gold Man-Sacks's picture

Could someone please explain what an ES-Risk spread is?  I Googled it, but the only things that show up are articles from ZH.

Thanks.

Thu, 06/16/2011 - 12:50 | 1374921 buzzsaw99
buzzsaw99's picture

Buy FAS as fast as you can. [/not advice]

Thu, 06/16/2011 - 12:54 | 1374936 Gold Man-Sacks
Gold Man-Sacks's picture

Okay, what is FAS now? 

 

Thu, 06/16/2011 - 12:48 | 1374925 Cognitive Dissonance
Cognitive Dissonance's picture

So either ZH is talking to itself or ZH is the only one talking.

If we tell you we'll have to kill you. Better off you don't know.

Thu, 06/16/2011 - 13:26 | 1375046 Ned Zeppelin
Ned Zeppelin's picture

Do a search of ZH itself- I recall a very detailed article one day about this.  It described how to capitalize on the opportunity.

Thu, 06/16/2011 - 13:44 | 1375137 ZeroPower
ZeroPower's picture

Short ES//long risk basket, or vice-versa.

Thu, 06/16/2011 - 13:47 | 1375147 buzzsaw99
buzzsaw99's picture

Okay, we've had our fun.

 

I don't know what the overweight/underweight components of the basket are but the flight has been into defensive names recently. the es index is weighted by market cap, the basket is weighted differently. My guess is that it (basket) is lighter on financials and energy (risk) and heavier on defensive names (J&J, PG, KO, utilities, etc.). To sum up: RISK ON BITCHEZ!

 

btw, this move is probably just a flash in the pan. By the time you read this it was already old news.

Thu, 06/16/2011 - 12:34 | 1374878 plocequ1
plocequ1's picture

Idiot translation in safe mode minus the mumbo jumbo.. The market is up. Don't worry about how and why, It just is

Thu, 06/16/2011 - 12:49 | 1374907 Manthong
Manthong's picture

Video of agent accessing facility in the bowels of the FRBNY where the control algos are coded.

http://www.youtube.com/watch?v=ElqZms_SUjg&feature=related

Maybe an absurd sounding idea, but you'll never convince me that is not what is happening.

Thu, 06/16/2011 - 12:52 | 1374918 Cdad
Cdad's picture

What happens next is anyone's guess as ES appears fairly priced

 I'll take a shot:  Protesters rush through just shattered front windows at newly opened European Abercrobmie shops, and then stand in line with their credit cards to purchase $30 t-shirts and assless jeans?

Thu, 06/16/2011 - 13:11 | 1374976 TruthInSunshine
TruthInSunshine's picture

Flaming Saganaki necklaces for banksters & politicians will smolder everywhere in Greece.

Who can blame them?

Three things in this world you don’t do. Never mess with another man’s woman. Never mess with another man’s ego. And most importantly you never mess with another man’s money/property/land/home.

 

Thu, 06/16/2011 - 13:22 | 1375033 Ned Zeppelin
Ned Zeppelin's picture

Stock prices and 10 yr treasury prices cannot both go up for long, and I think the equities are the side that will soon succumb to Greek contagion. This jaunt into positive territory today is odd.

Thu, 06/16/2011 - 13:49 | 1375154 Mediocritas
Mediocritas's picture

Who's in the plunge protection team these days?

Thu, 06/16/2011 - 15:52 | 1375626 Havana White
Havana White's picture

The desperate diarrhea-wracked Fed criminals are still pumpings 100's of millions into the equity indexes, trying to stave of the inevitable plummet and the exposure of their felonious banking schemes.  Nine trading days left til qe2 ends.  Then what, shovel further into the government pension funds?  Here's to seeing 'em hung high and spinning.

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