Where Would Stocks Be Closing If They Were Open?

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 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.


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.

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