ER2 no longer tracks the YM,ES,NQ

It's mostly a result of last week's window dressing. Out of large caps, into small caps again. Running in place rotation mainly.
 
I agree with Scurvy.
Nothing has happened this week. Some short covering in beaten up sectors may be a factor to ER2 movement. The ICE move has nothing to do with it. Plan to see the market move big tomorrow. With ER2 outperforming, there may be a shift to mid cap growth for a 4th quarter bull rally if the next few weeks remain bullish.
 
I've been spread trading ER2 against other CME index futures for a little more than 1 year now, and I think increase now is quite right on this purpose.

After an incredible money making period during late july-early august, it seems that price discrepancies have increased and ER2 behaviour is now totally different from what it was previously( and I'm suffering a DD on this system... not so bad but releasing part of the year profits ).

There was a day in august when I lost 900 $ per contract in 20 minutes... ER2 was just going north while the other instrument barely moved... This never happened in my experience. It seems that something has changed in the inter index arb algos or the number of guys doing it... But it's not the CME/ICE change since the russell stock index remains the same.
 
As the tide goes out liquidity dries up in smaller cap stocks first moving up the scale until only a few large cap index constituents are being manipulated to give a false impression of what is going on under the hood of the indices.
 
Pretty sure the ER2 isn't actually moving from CME until this September, right?

Quote from Businessman:

Since ER2 has now moved to ICE it no longer tracks these other instruments which trade on CME :p
More...
 
When the market gets long in the tooth, RUT (small caps) seem to lag and the action moves to YM, NDX. Look back to before the last tech bubble and you can see it. It could be a temporary condition as well.
 
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