As we observed four hours ealier, the EURJPY-implied futures open suggested an immediate 15 points of downside. Sure enough, ES has just opened for trading some 15 points lower to start. Where it ends the overnight session, however, now that the NY Fed and BIS trading desks have both been called in for an emergency overnight session, is a different matter entirely.
“Risk” assets in general (as proxied by Capital Context’s CONTEXT model) ended Friday notably divergent (and non-believing) from stocks... and now futures have caught back down…
It would seem equity futures are working their way back down to the level of risk T-Bills have been threatening. Cash treasury markets are not open yet but futures imply around a 2-3bps compression in yield – we can only imagine where T-Bill yields will break….