Wednesday, May 15, 2013

CONTEXT Dropping off fast

Context opened the week at +20, it's now flipped...

Remember that CONTEST is an ES model based on the fact that risk assets tend to move together, by looking at a composite model of what risk assets are doing, they get an ES model "Fair price" and these assets are wide ranging unlike the SPY Arbitrage, they include: interest-rates and curves, credit risk, CDS, FX carry, commodities, and precious metals among others.

As of 9:17 a.m. CONTEXT was at a negative 16 ES point differential-ES is the SPX futures (e-mini)

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