Risk/Credit and Context

There are some surprising moves in these indicators, actually they are what I'd expect, but I think the extent or intensity is surprising in several.

Just for reference, this was last night's ES CONTEXT model, which showed ES trading rich compared to the model, it seemed like a pretty strong divergence as of last night, compare to today below.

This is today's ES model, to the left is last night's divergence, look how small it is compared to today's.

As for the VIX, it hit nearly 1 year lows today around 15 and has rebounded from those lows, the CONTEXT model still has VIX undervalued vs their proprietary model.

Commodity momentum vs the SPX (green)

 Intraday commodities are lagging a bit

 Looking at the entirety of the bounce, you can see the extent to which they are really lagging.
Note Friday's unusual activity that came unglued from the FX correlation, but still wasn't enough to bring commodities in line.

 A little longer view of commodity relative performance vs the SPX, it's just not there especially if you make a relative comparison as to where the SPX was in Feb (at the highs) and where commodities were at the same time vs. now.

Euro vs. SPX

 We see some mostly in line correlation, although the Euro did signal a divergence sending the SPX lower, at the yellow arrow is the strange activity Friday where the correlation completely broke down, it looks to me as if equities were manipulated higher and all of the arbitrage algos were turned off Friday.

 A still longer view of the Euro/SPX, green arrows show the correlation (roughly), red arrows show divergences when the EUR didn't follow the market higher and now since Friday, the divergence is pretty extreme. Based on looking at the history of these charts, there's almost always a reversion back to the correlation.

 Intraday the EUR on a RELATIVE basis, out performed a bit earlier, setting the market up for a move higher, that seems to have stalled.

 HY Corp. Credit is still not excited about the bounce, intraday it's selling off vs the SPX.

 Look at Energy's underperformance today...

 Over the last week or so, Energy has virtually nose dived.

 This is a longer term view, Energy was divergent at the 28/29 and March 1/2 sending the market lower or contributing to the move. Again look how divergent Energy's relative performance is now.

 Here are financials lagging today relative to the SPX momentum

 Look at the difference between Friday with Financials leading and today.

 Tech above was lagging the SPX Friday, but improving as the SPX was flat, that has continued today.

 This is the same chart, just with AAPL overlaid in light blue.

This is interesting, this is sector relative performance/rotation from Friday.

 Note Financials came back later in the day, the defensive Healthcare sector was rotating out, Energy was rotating out as was discretionary with Tech starting to rotate in.

Now below you can see Friday and today, this is where the extent of the moves are surprising.

Financials, Basic Materials, Discretionary and Energy vs Friday have fallen off a cliff, the defensive Utilities (red) and Staples have come in to rotation in a huge way, Healthcare and Industrials have held their ground. Tech is in rotation, but not to the degree of the other moves seen. This suggests VERY defensive rotation today.