Leading Indicators Improve

Yesterday I was kind of underwhelmed with late day improvement market wide and as posted several times, the last being in the Midnight Futures Post last night...

"In any case, the point being that today as mentioned several times during regular hours, I was not impressed by afternoon trade, it looks a bit better in the overnight session, but that needs to stick in regular hours. Leading Indicators were no exception, but there were still a few interesting signals."

Today there's noticeable improvement, some effecting Capital Context models, one being VERY interesting, in fact so much so it makes today look like a final flush before an upside move.

 Sentiment today has improved noticeably.

Yesterday we saw the first positive Yield dislocation pretty much since this range started, with today violating the range, but the Yield indication being a lot stronger than yesterday and if you recall, yields tend to attract price (SPX in green) toward them.

 HY Credit has held up well too overall

 We don't want to forget what the primary mission here is and a look at the daily chart of HY credit vs the SPX should give you a feel for the long term trouble the market is in.

Commodities improved yesterday, even more so today.

Finally and most importantly, the institutional asset, High Yield corporate Credit which is used in a number of algo-driven arbitrage trading black boxes, held up fantastically today. Whatever the market is feeling today, HY credit is not worried about it. As a result, SPY Arbitrage is being moved to a positive/supportive position as the only 3 assets in the model are TLT, VXX and HYG.

 We saw this start to flip to positive yesterday, today it's at +.60 meaning the SPY is undervalued by at least $.60 as of right now, but this is also delayed 15+ mins.

The institutional risk assets that make up the CONTEXT ES model are showing the same, there is a building discrepancy between ES and what the model considers fair value, first seen yesterday, now at a nearly 18 point positive dislocation.

HYG credit is definitely the surprise that I'm glad I saw today.