With equity cash and futures markets closed, we thought it useful to gauge where equities might have closed if they were trading. As so many need month-end marks for reporting and OPEX-based hedgers are likely anxious, we thought getting some perspective from what the machines are seeing would be useful. With Kevin Henry gone gray as Treasuries closed, risk-assets slipped modestly on the day - with a late day push to the lows on the back of Merkel's 'nein' on euro-bonds. To wit, based on the dependence with FX and commodity markets, S&P 500 futures would be trading under the critical 1400 level. - and based on the Toronto Stock Exchange, S&P 500 cash would be trading around 1404 (down around 8pts on the day). S&P futures are set to re-open at 1700ET 1800ET (and based on CME's site will close again at 0915ET tomorrow).
Based on cross-asset class correlations (CONTEXT [2]is a broad-risk asset indication of equity's relative fair-value), the surge into the close this morning in stock futures is overdone and FX and commodity markets remained obviously quiet but unable to 'believe' in that strength.
[3]
This is somewhat confirmed by the S&P/TSX which recoupled into Friday's close and has traded down all day today - implying S&P 500 cash closing at around 1404.
[4]
The same risk-on push is evident at the open in Canada today but as is clear that faded rapidly - as CONTEXT suggested.
Charts: Bloomberg and Capital Context [5]