Open interest down by 10k inthe big contact and 41k in the mini suggesting the break is not as bad as it looked. SPU futures settled at a deep discount and are still in sell program range with the 2.75 point pop before the open.
Fast money is getting short here. Aggresive sellers of SPU futures and NDU futures by the macro hedge funds. If we get the normal end of ther day portfolio buy program they may cover.
W/ the ISM number 65.1 The best reading ever. stocks should rally. It is early in the day but the reaction should be taken seriously. A break on a good number would signal lower prices in the near term. S&P and DOW through their 50 day NDX 50 day1238 and change.
strategic and tactical allocation
Models on a tactical basis as well as strategic investors are selling SPU futures or eqivalents and buying FI across the curve.
tactical allocations are model driven and not subjective
Strategic allocations are subjective and longer term
Pension fund and plan...
Macro trade that started Aug first still out there. Big sellers of SPU futres buyin FVU futures and FI cash. Estimated size of the trade as much as 20 billion US over the next few weeks