Being it is the end of the quarter, I'm sure funds would like to have the best close possible the last day of the quarter, what happens tomorrow, especially as the banks return several hundred billion in assets to the F_E_D, well that's another story.
I'm looking at HYG, VXX and TLT as they are the most common levers for a VIX slam at 3 p.m. The dollar has also been beaten down all day, but it doesn't look like it's going to hold too much longer (sends precious metals and typically oil higher)
HYG has been underperforming the SPY/SPX all day, however looking at the intraday 3C charts...
The longer term is in bad shape, 60 min, but this is a short term lever...
The HYG 2 min has a positive divegrence in it which would be used in combination with a VIX slam end of day.
TLT is another asset in SPY Arbitrage, it has an intraday negative divegrence even though it has been outperforming it's correlation, likely related to banks trying to fill their collateral shortage for Window dressing related as this is the 20+ year Treasuries.
VXX is the third asset, but it doesn't look negative, which is what we saw Friday as the VIX was hammered at 3 p.m., but actual VIX futures stayed steady, not making a lower low at all for the day in to the VIX slam as there's obvious demand for protection.
The averages themselves aren't showing anything very impressive, actually they've been trading quite weak all day (3C charts), I'll update them in a moment.
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