Leading Indicators and Levers

On the whole, I'd say most risk assets are generally supportive, there's a pretty large disconnect between the SPY arbitrage and SPY movement and the SPY Arbitrage model and the CONTEXT model; SPY arbitrage is supportive and based on the assets it uses I can see why, CONTEXT's model is much less so.

 SPY arbitrage model is positive, but only by $.30

 ES model is negative by as much as negative 8 points.

I can see where some of the SPY Arb. levers are being used and thus the model is positive, I'll show you.

 Commodities overall as a risk asset are supportive, I don't know how much is risk appetite and how much is $USD weakness (arbitrage).

 Look at known SPY lever HYG (High  Yield Corp. Credit), HYG is not only leading the SPY on the day, but compared to previous record highs in the SPY, HYG is outperforming or darn close.

 Even High Yield Credit which is not part of the model and much less liquid is supportive at new highs above the SPX's previous highs last week.

 The short term VIX Futures are another known SPY lever and they are hitting new lows on this chart, yet the SPY has not hit new highs so that lever is obviously being used (VIX Futures).

 The $USD is broadly supportive of risk, whether commodity or equities as it is down quite a bit. There's little doubt this has a good part to play in the GLD/SLV move today.

 The Euro as you might expect is also supportive, but at a new high vs the SPX's former high last week, so extra support there.

 And the $AUD is supportive as well.

 Yields have been broadly supportive recently, there's a little stickiness this morning, but they are certainly not pulling down on the market much.

Sector relative performance is not what I expected (generically-as far as Tech I know what AAPL looks like ). The safe haven sectors like Healthcare, Staples and Utilities are down  as expected, well as would be expected from a day like yesterday. Financials are up as expected as is energy and the momentum stocks in Basic Materials, however Industrials, Tech and Discretionary are not playing along very well.

I'll show you the averages and futures next.