Short Russsell2000 Index Futures and Long SP500 Futures in search of convergence in valuation, due to worse performance of small caps relative to big caps in environment with increasing interest rates.
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The trade played out as expected and the divergence between the indexes diminished, closing the gap between them. Especially successful was the relative value trade of Selling Russell 2000 and buying NASDAQ100 (NDX)! Both synthetic trades NDX/Russell2000 and SPX/Russell2000 were closed in profit on 12 May 2017