ES 13 Points Rich To Intrinsic Risk Value

Tyler Durden's picture

Since just before the US equity day session open, ES has diverged dramatically from what was a highly correlated trajectory with global risk assets. European credit markets are rolling over - notably off their highs, European sovereigns are leaking wider (BTPs from -25bps to -10bps now and Portugal +75bps), US TSYs are 6bps off high yields of the day and 2s10s30s is dropping fast, Oil has cracked back through $99 (2.5% off highs), and AUDJPY is losing steam. European financials were underperforming in credit-land and now we see US financials drop from best performer to sixth (admittedly still +3%) as EURUSD starts to leak back into the EUR close.

The ES-CONTEXT spread at 13pts offers a great chance of compression and for non-institutional execution, it seems fading the ES rally is most appropriate (though obviously much more risky - size accordingly) at least to VWAP around 1188.

Chart: Bloomberg and Capital Context

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Careless Whisper's picture

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GeneMarchbanks's picture

'PHOTO OF THE DAY; (It's Real)'

We all jump on three, OK?

lolmao500's picture

"China will not hesitate to protect Iran even with a third World War"

Sea alert: Russian warships head for Syria

Jason T's picture

Prey we can elect Ron Paul to save us from this potential catastrophe.  

CrazyCooter's picture

Not enough time. This can be full scale before Nov '12.

In fact, if the TPTB know RP has good odds at riding in the presidential saddle, this would be the poison pill strategy. Buckle up!



hedgeless_horseman's picture

DB and RBS are both ripe, in more ways than one.

Everybodys All American's picture

Question: How much Fed money does it take to spike a market 300 dow points?

Captain Benny's picture

None, it just takes them saying they're going to print more money... spiking gold and silver, weakening the USD relative to all else.

jiggerjuice's picture

Been waiting all morning for ES to roll over. It just sits there, floating, laughing at me. Meanwhile, on approximately no movement, VIX is leaking up... Looks like nobody really believes it's going to float for too much longer today.

stop.snitching's picture

Did you also notice the huge drop in VIX around 10:20 to about 28.50? It then jumped back up to 32 within about 5 minutes...check out the chart. So weird. Lots of options activity there today....

The Big Ching-aso's picture



Risk on, risk off, risk on, risk off.    It's like the Catholic Rhythm Method of birth control.    And we all know how well that works.

pmcgoohan's picture

Isnt the divergence between EURUSD and SPY because of the FED MBS easing? Its US only QE after all

gangland's picture

I Want More Porn....more pop-up windows...unsolicited hotlinks & spam.

slaughterer's picture

I am happy with just the Russian and Asian female dating service pop-ups I get when visiting ZH.  

lizzy36's picture

I suspect so is he. 

Although it might be a tad difficult bringing his Russian "date" back to his mothers basement, so he can coup an over the sweater feel.

slaughterer's picture

Caveat: ES-Context spread bets are sometimes risky when QE rumors come to town.  

Carlyle Groupie's picture

Careful with the caveats we needs some bear meat to really get this rally going.

slaughterer's picture

Ok, raise hands: who held TZA over the weekend?

Boilermaker's picture
ES 13 Points Rich To Intrinsic Risk Value

Why let that stop the fleecing?  They have control of the vertical and horizontal, obviously.  They can do as they please and they want all to know it.


RobotTrader's picture

Who were the poor schlubs that shorted at 1175 last night?

slewie the pi-rat's picture

git yer risk here, richie rich!

trust those "managers" to get in here for you.  L0L!!!

like the poor, QE rumors will always be with us

LawsofPhysics's picture

Nice point, especially considering that the short interest is down.