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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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Mon, 11/28/2011 - 12:18 | 1921119 Careless Whisper
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The Careless Whisper Morning Update

 

 

Barney Frank Implements Getaway Plan

http://www.cbsnews.com/8301-503544_162-57331954-503544/barney-frank-to-r...

PHOTO OF THE DAY; (It's Real)

http://www.spiegel.de/fotostrecke/fotostrecke-75616-2.html

Retired Westchester County NY Cop Gets $183,213 Pension. Per Year. Tax Free

http://www.lohud.com/article/20111128/NEWS02/111280313/Ex-cop-get-183G-y...|topnews|text|Frontpage

23,000 Mexicans Demand International Criminal Court Charge Calderon With Murder And Torture

http://www.guardian.co.uk/world/2011/nov/28/mexican-government-rejects-w...

WalMart Pepper Sprayer Tells LAPD Pepper Sprayers To Fuk Off

http://latimesblogs.latimes.com/lanow/2011/11/suspect-in-wal-mart-pepper...

Zynga Gets Competition From Berlin Start-Up Gamer

http://www.spiegel.de/international/business/0,1518,799293,00.html

NEWS VIDEO: Secret Service Visits Retired Marine Over Political Bumper Sticker

http://www.11alive.com/news/article/214228/3/Company-Policy-We-are-not-h...

Auto Union Wants Canadian Government To Retain Its GM Ownership

http://www.leftlanenews.com/caw-chief-canada-should-retain-stake-in-gm-b...

MUSIC VIDEO OF THE DAY: Hello, I'm Johnny Cash. I'd End The Fed.

http://www.youtube.com/watch?v=pP3jCx6EdMI

 

Mon, 11/28/2011 - 12:21 | 1921136 GeneMarchbanks
GeneMarchbanks's picture

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

We all jump on three, OK?

Mon, 11/28/2011 - 12:28 | 1921172 lolmao500
lolmao500's picture

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

http://www.youtube.com/watch?v=dPjxeyG-Ztw

Sea alert: Russian warships head for Syria

http://rt.com/news/russian-aircraft-carrier-syria-363/

Mon, 11/28/2011 - 12:36 | 1921191 Jason T
Jason T's picture

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

Mon, 11/28/2011 - 13:57 | 1921530 CrazyCooter
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!

Regards,

Cooter

Mon, 11/28/2011 - 12:19 | 1921127 GeneMarchbanks
GeneMarchbanks's picture

That's normal.

Mon, 11/28/2011 - 12:20 | 1921132 hedgeless_horseman
hedgeless_horseman's picture

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

Mon, 11/28/2011 - 12:23 | 1921140 Everybodys All ...
Everybodys All American's picture

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

Mon, 11/28/2011 - 12:34 | 1921186 Captain Benny
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.

Mon, 11/28/2011 - 12:24 | 1921151 jiggerjuice
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.

Mon, 11/28/2011 - 12:27 | 1921168 stop.snitching
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....

Mon, 11/28/2011 - 12:40 | 1921211 The Big Ching-aso
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.

Mon, 11/28/2011 - 12:25 | 1921157 pmcgoohan
pmcgoohan's picture

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

Mon, 11/28/2011 - 12:27 | 1921163 gangland
gangland's picture

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

http://www.youtube.com/watch?v=QiyTY9kgpiQ

Mon, 11/28/2011 - 12:29 | 1921174 slaughterer
slaughterer's picture

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

Mon, 11/28/2011 - 12:33 | 1921183 lizzy36
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.

Mon, 11/28/2011 - 12:28 | 1921171 slaughterer
slaughterer's picture

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

Mon, 11/28/2011 - 12:30 | 1921177 Carlyle Groupie
Carlyle Groupie's picture

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

Mon, 11/28/2011 - 12:30 | 1921176 slaughterer
slaughterer's picture

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

Mon, 11/28/2011 - 12:33 | 1921184 Boilermaker
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.

 

Mon, 11/28/2011 - 12:36 | 1921193 RobotTrader
RobotTrader's picture

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

Mon, 11/28/2011 - 12:52 | 1921268 slewie the pi-rat
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

Mon, 11/28/2011 - 13:18 | 1921367 LawsofPhysics
LawsofPhysics's picture

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

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