Alright figured it out... the FX hedge wasn't reflected in the iNAV intraday. CAD ripped \~+40 bps while ES was down \~75 bps, but ZSP traded like FX was flat. MMs priced off a stale/misapplied FX leg, so it behaved like unhedged SPX until the close---when the hedge finally hit.
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Alright figured it out... the FX hedge wasn't reflected in the iNAV intraday. CAD ripped \~+40 bps while ES was down \~75 bps, but ZSP traded like FX was flat. MMs priced off a stale/misapplied FX leg, so it behaved like unhedged SPX until the close---when the hedge finally hit.