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[VolPivots]

RUT closed at 751.5; ER2 last 750.6 SPX closed at 1406.7; ES last 1400.75 Any ideas?

[89S10]

FV for ER September is 754.81 vs 754.75 futures (midpoint of bid and ask) FV for ES September is 1411.66 vs 1406.50 futures (last) ER is close to fair value ES is about 40 bp under fair value This has been a theme lately. I am told that the leveraged equity market neutral players who are unwinding are short low quality stocks and long high quality stocks. So, as they unwind, they are putting buying pressure on the Russell 2000 and selling pressure on the S&P 500. Hence, the irony that, despite the fear in the market, the Russell 2000 is outperforming the S&P from time to time. This suggests that, once the unwinding is over --- this is price indifferent selling --- we could have a huge rally.