S&P Futures Plunge To 1-Week Lows; Gold Jumps To 3-Week Highs

Tyler Durden's picture

Given FX markets are double-dipping now, it is little surprise that S&P 500 futures open down 16 points from the 1553.5 close on Friday - a one-week low. This is the biggest close-to-open gap down since May 2012. Treasury Futures just opened implying a 1.94% 10Y (-5bps) and 3.16% 30Y (-5bps). And despite the USD strength, spot gold just opened also up from $1591.95 to $1607. The arb against JPY carry is holding stocks for now... only another 8 hours until Europe opens... Over 38,000 contracts have traded in S&P 500 futures in the first 5 minutes ($2.9bn notional) - 30 times the average for a Sunday night... The initial dump was caught by a VWAP reverter but that is fading now... Japan's NKY looks set to open down around 500 points or so given JPY's strength.

 

 

The biggest Close to Open gap in 10 months...

 

Initial massive volume dump for a Sunday night, VWAP algos revert and now fading again...

 

Stocks open down to EURJPY, bounce a little on the catch up from carry...

 

Gold holding above $1605...

 

Treasuries...

 

and for now it looks like Japan's Nikkei 225 will open -500 points or so at around 12,000...

 

 

Charts: Bloomberg