Futures Update

There's so much data out there that I think to really look at it, it would take 24 hours just on what we have today.

Despite the market, which seems to be following an algo arbitrage (and this needs more investigation, but CONTEXT makes it look very apparent) and is behaving better than you might have expected as of yesterday...

 CONTEXT ES model vs ES (S&P futures) is running darn near perfect, this looks very much like some correlation driven algo.

The ramp in the EUR/USD back toward the ECB sanctioned floor in the pair at $1.30, just failed, but it has been more than enough to lift futures and stocks overnight and through normal trading hours.

Things would seem "Hunky-dory" (if that is how that is spelled?), however the flight to safety remains, you can't have a risk on posture and a flight to safety at the same time.one or the other is deceiving and you know where I come down on that one.

In any case, as of noon time EDT, the Swiss (typical flight to safety) 2 year rates were hitting -.05 which means those buying Swiss 2 year notes are more interested in preserving capital and are willing to take a negative ate of return to do so than they are in participating in stock purchases or other risk assets (of course money could be coming from all sorts of places including European bank accounts).

While I haven't had time to get to it, there's more to the growing Chinese inflation story as well so we are also seeing a flight to the safety of Gold.

So as the market does its thing and makes the day look like things aren't so bad, we have other metrics showing there's some money running scared, willing to accept a small loss to avoid taking a bigger one (negative rates of return on Swiss 2 year notes) and a move in to gold, which I would still love to se a nice momentum move to sell some of the April GLD calls in to.

Since CONTEXT is so incredibly close to ES, I'm going to take a look at leading indicators, although I suspect I already have an idea what I will find...