As Traders Leave The Building, RISK-ES Spread Comes Galloping Back

Now that every carbon-based trading life form has long since left the building, and only the robots and Brian Sack's NYU interns are left loading up bags, the good old ES-RISK divergence has once again opened up to the same 10 point spread which prompted us to advise for a compression trade yesterday. Sure enough, like clockwork, the vacuum tubes come crawling with limited dry powder, and can only bid up ES while leaving everything else in the dust. A compression bet here will likely close the same way it always closes once some rationality returns and the PPT steps back.