Chain Rule Says, from Victor Niederhoffer
Chain Rule says that the area to be covered by u dv = uv - area covered by v du
In that case when u and v are high the effect of a change in the other one should be algebraically higher than when u or v is low.
I looked at the 5 occasions when tbonds, crude and SPU all set a 10 day high, sort of like today although not all highs. In the last 6 years.
I find a change in SPU is very bearish– down 32 next 5 days. A change in bonds down is very bullish. Change in crude very bearish. Down almost 10 ^+% next 5 days. Change in bonds quite bullish.
Compare that to 3 occasions when they all were at 10 day lows:
change in S&P fairly bullish
change in bonds very negative
change in crude fairly bullish
No significant effect except that bonds tends to continue at extremes.