Risk Assets

 The CONTEXT model is negative for ES, still we saw a nice early momentum move, but the underlying conditions shows the market rallied against the correlations it typically moved with, that wreaks of Wall Street manipulation. It looks lie most of the weakness is in currencies.

 Commodities aren't moving nearly as much as the SPX did, most likely due to the tighter currency correlation.

 This is the same chart with the Euro added in blue, you can see stocks moved despite the weak Euro, commodities are more in line with the Euro.

 High Yield Credit has rallied today, usually this will be pretty negatively divergent by the time a bounce move is over, but we saw this in an earlier posting in which High Yield credit was moving while Investment grade was selling off.

 I'm surprised yields aren't more supportive today, they are pretty negative here, which makes this morning's move up even more impressive at least as an example of what Wall Street can do in terms of short term manipulation of the market.

 The Euro vs the SPX is still low today, it looks like there may be a triangle consolidation forming, if that breaks out to the upside, it will lend the market some strength.

 Again High Yield Corporate credit is moving with the market, and again usually this will start selling off and be negatively divergent at the end of a bounce, right now it still looks supportive. HY Credit is riskier, thus the reason it usually sells off before equities do.

 This is the same chart, just a bit longer, HY Corp. Credit broke out today.

 Sectors are fairly weak compared to market momentum, Energy seen above is most likely weaker because of the FX/USD correlation.

 Financial momentum is not there, you can guess why.

 Tech looked a lot worse yesterday, today early on it was showing momentum, it's probably the closest to strength in the 3 major groups and ironically was the sector I expected to be the last to move before a market collapse.

Sector rotation from yesterday to today shows Financials way off, although building a little as the afternoon goes on (relative to SPX momentum). The Defensive sectors are still in rotation, although Staples are losing some ground. Industrials are in rotation today, remember I said the Dow has to make up for earlier relative weakness vs the other averages. Tech looks to be coming in to rotation, there's better momentum there than yesterday and Consumer Discretionary is showing better momentum.

From what I see above, the weakness in CONTEXT (which is proprietary, but I suspect heavily weighted toward currencies) doesn't seem to be coming from Credit, more so from yields and the Euro.

So long as credit remains relatively strong, I would venture to say the risk on environment can continue, although it would be very helpful for the Euro to breakout.