The CONTEXT S&P E-Mini Futures (ES) model is still near new lows, lower than last week as we saw it start to turn from neutral to negative. You can see the trend of the model in green and actual ES in red above.
Their SPY Arbitrage model (I assume it is comprised of the S&P-500 component prices) is also lower by about $1.00, it has also grown worse as the day has gone along.
The model above for the SPY would put it right around the $137.50 mark, assuming more damage wasn't done as intraday support was taken out.
The Risk Asset Indicators...
HY Credit remains range bound for almost 3 days now, not following the SPX to higher highs as it should, it did move intraday toward the bottom of the range.
High Yield Corp. Credit also didn't make a higher high with the SPX late Friday (seen at the yellow arrows) and today HYC Credit is starting to peel away from the SPX a bit.
The divergence or dislocation in Yields persists, this one usually is pretty effective as a leading indicator.
Of course there hasn't been anything to move the Euro back to its correlation with the SPX, it remains dislocated.
As for Sector rotation, earlier it looked a bit confused as I mentioned...
Now risk sectors like Financials, Basic Materials, Industrials, Tech and Discretionary are moving out of rotation while the defensive Utilities and Staples Sectors continue to move in more aggressively.
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