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.
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The biggest Close to Open gap in 10 months...
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Initial massive volume dump for a Sunday night, VWAP algos revert and now fading again...
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Stocks open down to EURJPY, bounce a little on the catch up from carry...
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Gold holding above $1605...
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Treasuries...
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and for now it looks like Japan's Nikkei 225 will open -500 points or so at around 12,000...
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Charts: Bloomberg