Risk-ES Spread Closes, Reopens Ahead Of FOMC

Tyler Durden's picture

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qussl3's picture

Groundhog day.

Left Right Wrong's picture

Can someone please explain to me what this means in lay-man's terms?

virgilcaine's picture

Short this Rally Hard!! This biatch is going down.. lol

oogs66's picture

seems like no one on CNBC can think of anything the bernank can say that would make them sell stocks...hmmmm....another great contrary signal?

qussl3's picture

Just waiting for them to trot out the "decoupling" BS then we'll have come full circle.

Dont expect an immediate sell off tho, we may limp along till EOM, to both sucker in the bagholders and let the MFs post some decent numbers.

 

AbandonShip's picture

If CBNS was reallying providing their viewers some honest education/service...they would track this spread in realtime and post it at the top with their other market indicators.

golfrattt's picture

Can someone here take the time to explain what this spread indicates, and the inverse to it...??

Tia...

patrickbateman0's picture

What exactly is the .esbasket U index. and how can I arbitrage this!

ZeroPower's picture

The ESBASKET is Tyler's predefined set of risk assets (rates and rates butterfly, FX and gold and oil) which, typically, move right in line with the broad futures of the S&P index which is the ES(U1 for the exact exp date).

As mentioned in the post, stocks got 'overeager' w/r/t to the risk basket and so the arb available was to long the risk basket and short stocks (the ES). Clearly a trade that, as posted many times here before, deems quite profitable.

sbenard's picture

I haven't the slightest idea what this post is about! I trade ES and other futures all day long, but this is something I know zilch about.

statlawyer's picture

Is this nearest-month Emini S&P futures contract price versus current market price of the S&P 500?

statlawyer's picture

Oh cool, thanks. Multi variable regression ... dependent is the index forecast. I do this for a living just not for stocks :)

TooBearish's picture

AUD, JPY, 2-10 yield spread what did I miss TY?

ZeroPower's picture

2s10s30s, CL and GC, EURUSD

Iam Rich's picture

Well, if you want to see loony toon, then just check IYR (real estate ETF).  That's going to have to come back to earth.

Village Smithy's picture

Correct me if I am wrong but did I not just hear the FOMC say "no more money until the Russell gets back to at least its 2010 lows". Sooner or later the "plunge protection team" has to run out of money, and then... Someday someone will uncover the account that money has been coming from and we will see just how outrageously manipulated this market was.

NotApplicable's picture

Hell, there's probably hundreds of accounts to obfuscate this action.

Think Enron times infinity.

Eireann go Brach's picture

Hopefully there is a sniper in the room when Bernankenstein speaks at his conference!

Rick64's picture

Gotta love this trade! Thanks again ZH.

So Close's picture

Hey Rick... Call me dumb..  I read the referanced article but still don"t get it.  I  see the divergance and understand why it is posited that it is happening.. and where it will return to.  Can you please give me the specifics ofthe trade?  Thanks in advance.

So Close's picture

2s10s30s, CL and GC, EURUSD   ?

ZeroPower's picture


by ZeroPower 
on Wed, 06/22/2011 - 16:13
#1392987

The ESBASKET is Tyler's predefined set of risk assets (rates and rates butterfly, FX and gold and oil) which, typically, move right in line with the broad futures of the S&P index which is the ES(U1 for the exact exp date).

As mentioned in the post, stocks got 'overeager' w/r/t to the risk basket and so the arb available was to long the risk basket and short stocks (the ES). Clearly a trade that, as posted many times here before, deems quite profitable.