CONTEXT

I was asked about this earlier today, I didn't take a look at it until someone else brought it to my attention, but if you look at all of the professional risk assets and their performance vs. the market today as posted earlier in, Pre-F_O_M_C Market Update , it makes perfect sense since CONTEXT for ES futures' model is built using institutional risk assets.

Here's today's model vs. ES, which is not surprising and exactly what was being posted yesterday in reference to when sentiment means too far to one side,

The one thing I don't like is the increased market perception and fear, that tilts the ship too far one way and it's very lucrative for Wall Street to rock the boat in the other direction quickly, stopping out or triggering trades, it''s short term maneuvering that has little to do with the bigger picture, but it makes them money."

The comments above from yesterday taken with the 1-day oversold condition and today's Leading Indicators linked above all fit together perfectly to explain the difference between ES futures and the CONTEXT model. A definition of the CONTEXT model:

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.

And today's model vs ES...

The CAPITALContext Model vs ES. with a -40 point differential, meaning ES is 0 points rich to professional risk assets' behavior today as already seen earlier in the Pre-F_O_M_C Market Update post. This is also right in line with a 1-day oversold bounce as illustrated in the Daily Wrap Internals last night.