As mentioned last night, ES was running WAY ahead of the risk basket, today you can see a return to the median as ES trades very close to the risk basket as it should.
In actuality the risk basket is performing a little better then ES, I'm guessing it's the typical market pendulum action in which ES went too far north of the risk basket yesterday and has snapped back a little bit too far south of the risk basket today, but it's much closer to what would be expected.
ES is trading exactly at its VWAP (Volume Weighted Average Price).
At least today we don't have any major games of "rush to fill the gap" as we saw yesterday and the market is functioning in a risk off mode as would generally be expected.
This just reinforces my view from last night that momentum was used to push in to an unfilled gap where the market makers and specialists likely had inventory at those levels and thus a loss until the gap was actually filled, which allows the middle men to sell the inventory or even go short there.
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