After Brexit there has been a strong up move in bonds and a sharp down move in stocks.
Some pension funds tend to rebalance by selling bonds and buying stocks. Our algorithms were detecting footprints of such moves at various points during the rally yesterday.
Many shorts in the market are of the nervous sort. They often tend to buy to cover at any price to get out. In yesterday’s buying, algorithms at detected footprints of a heavy short squeeze. The key level on ESU6 is the area of 2060.
I would be surprised if the market can trade higher than monday’s high this week. Regarding the hedges, we will be starting the program on VXX and TVIX.