This page has been archived and commenting is disabled.

Risk-ES Spread Closes, Reopens Ahead Of FOMC

Tyler Durden's picture




 

After the ES-RISK (Rates, both absolute and butterflys, FX and Commodities) divergence yesterday brought the spread to a 10 point-wide equivalent, the subsequent lack of positive response to the Greek developments in futures once again closed the spread like clockwork. Well, the 3 day regressed chart (for apples to apples) shows that stocks are once again overeager in advance of the Fed meeting, which leads to yet another convergence opportunity between the two trade legs.

 

- advertisements -

Comment viewing options

Select your preferred way to display the comments and click "Save settings" to activate your changes.
Wed, 06/22/2011 - 11:57 | 1392000 qussl3
qussl3's picture

Groundhog day.

Wed, 06/22/2011 - 18:05 | 1393321 Left Right Wrong
Left Right Wrong's picture

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

Wed, 06/22/2011 - 11:53 | 1392001 Robslob
Robslob's picture

Get some!

Wed, 06/22/2011 - 12:00 | 1392019 virgilcaine
virgilcaine's picture

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

Wed, 06/22/2011 - 12:06 | 1392028 oogs66
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?

Wed, 06/22/2011 - 12:08 | 1392034 qussl3
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.

 

Wed, 06/22/2011 - 12:06 | 1392044 AbandonShip
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.

Wed, 06/22/2011 - 12:10 | 1392047 golfrattt
golfrattt's picture

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

Tia...

Wed, 06/22/2011 - 12:15 | 1392058 patrickbateman0
patrickbateman0's picture

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

Wed, 06/22/2011 - 16:13 | 1392987 ZeroPower
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.

Wed, 06/22/2011 - 12:12 | 1392062 sbenard
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.

Wed, 06/22/2011 - 12:21 | 1392078 statlawyer
statlawyer's picture

repost

Wed, 06/22/2011 - 12:21 | 1392082 statlawyer
statlawyer's picture

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

Wed, 06/22/2011 - 12:28 | 1392110 statlawyer
statlawyer's picture

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

Wed, 06/22/2011 - 12:19 | 1392088 TooBearish
TooBearish's picture

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

Wed, 06/22/2011 - 16:14 | 1392959 ZeroPower
ZeroPower's picture

2s10s30s, CL and GC, EURUSD

Wed, 06/22/2011 - 12:23 | 1392108 Iam Rich
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.

Wed, 06/22/2011 - 12:43 | 1392184 Village Smithy
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.

Wed, 06/22/2011 - 14:53 | 1392694 NotApplicable
NotApplicable's picture

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

Think Enron times infinity.

Wed, 06/22/2011 - 13:36 | 1392354 Eireann go Brach
Eireann go Brach's picture

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

Wed, 06/22/2011 - 13:47 | 1392398 Rick64
Rick64's picture

Gotta love this trade! Thanks again ZH.

Wed, 06/22/2011 - 16:00 | 1392944 So Close
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.

Wed, 06/22/2011 - 16:15 | 1393007 ZeroPower
ZeroPower's picture

Read above.

Wed, 06/22/2011 - 16:22 | 1393017 So Close
So Close's picture

2s10s30s, CL and GC, EURUSD   ?

Wed, 06/22/2011 - 16:32 | 1393070 ZeroPower
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.

Wed, 06/22/2011 - 16:41 | 1393096 So Close
So Close's picture

Thank you!

Do NOT follow this link or you will be banned from the site!