CONTEXT Model-1 More Day

Yesterday we looked at Capital Context's ES model, again the definition of the model's construction is as follows from CC themselves:

"The world has become an increasingly inter-connected place to trade. Whether due to central bank liquidity or the shortening of business cycles, asset-classes tend to behave in highly correlated ways most of the time. The CONTEXT framework attempts to distill the world’s ‘risk’ asset-classes (interest-rates and curves, credit risk, FX carry, commodities, and precious metals) into a single-measure that can be judged against the US equity market in order to comprehend potential mis-pricings (or technical flows and liquidity impacts). Institutional and algorithmic clients tend to use CONTEXT as a confirmation tool for positioning against (or with) a trend. CONTEXT provides a 24-hour-a-day real-time indicator of the world’s risk appetite and whether US equities are over- or under-pricing that risk."

In short, if equities or more specifically S&P E-mini futures are moving up or down, institutional assets should be moving up or down with them as that's where the real money is in the market, otherwise the move is suspect and as you'll see in tonight's Daily Wrap (unless you've kept track of the posts through the week, then you already know), if institutional money who is much better informed than we can ever hope to be is not participating, there's a problem with the move whether it be up or down. Without institutional support, the market can't hold anything.

This particular CONTEXT/ ES Model is delayed so it was as of 3:30 today, perhaps I'll update it later...

As of 3:30 the CONTEXT model of ES/SPX Futures vs ES itself shows a differential of nearly 60 ES points, about 2/3rds higher than yesterday; meaning Institutional risk asset movement that is highly correlated to equities is NOT buying this move, in fact just about every indication suggests they are selling it, b which  was the theme earlier in the week once the support had been put in place with the second tag of the SPX's 150-day moving average.

For the equity market or specifically S&P futures to be on par with what institutional/smart money is doing, the S&P FUTURES need to fall by about -60 points.