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Most recents (3)
🐻♉️↗️↘️↔️⚠️🚩🔺🔻🧮 💰
1/7 🧵
Global Macro Review 08/14/2022
A big decline in $CPI to +8.5% y/y, ➕ the July services #PMI ↗️ ➕ #NFP ↗️, kept the 🔥 burning on risk assets - enough to lure the ♉️
Is this a new ♉️ market or the end of the 🐻 rally?
Let’s dig into the 🧮!
1/7 🧵
Global Macro Review 08/14/2022
A big decline in $CPI to +8.5% y/y, ➕ the July services #PMI ↗️ ➕ #NFP ↗️, kept the 🔥 burning on risk assets - enough to lure the ♉️
Is this a new ♉️ market or the end of the 🐻 rally?
Let’s dig into the 🧮!
2/7
Equity volatility ↘️ across market and 🐻 Trend (T)
$VX 19.53 -1.62 bps
$VXN 25.18 -1.95 bps
$RVX 24.23 -1.07 bps
$VSTOXX 21.21 -1.64 bps
$VXEEM 19.45 -2.41 bps
Chart: $VXEEM lending support to $EEM 🆕 ♉️
Equity volatility ↘️ across market and 🐻 Trend (T)
$VX 19.53 -1.62 bps
$VXN 25.18 -1.95 bps
$RVX 24.23 -1.07 bps
$VSTOXX 21.21 -1.64 bps
$VXEEM 19.45 -2.41 bps
Chart: $VXEEM lending support to $EEM 🆕 ♉️
3/7
US equity indices 🚀
$SPX +3.25% (w) +6.35% (T) 🆕 ♉️
$COMPQ +3.1% (w) +10.55% (T)
$IWM +5.0% (w) +12.5% (T)
Chart: $IWM - small caps have retraced nearly 50% of the 6-mo decline
US equity indices 🚀
$SPX +3.25% (w) +6.35% (T) 🆕 ♉️
$COMPQ +3.1% (w) +10.55% (T)
$IWM +5.0% (w) +12.5% (T)
Chart: $IWM - small caps have retraced nearly 50% of the 6-mo decline
The stock market is making me nervous about a deeper pullback. It is trading over a percent below the Lower Boundary of its Probable Range, indicating it wants to at least break down to neutral from the perspective of our Volatility-Adjusted Momentum Signal (VAMS).
THREAD 1/
THREAD 1/
That said, the last time we saw such a deep downside deviation w/r/t the S&P 500’s Probable Range was on 5/12/21. At the risk of anchoring on an n-size of 1, investors can breathe a sigh of relief b/c that was not a sell signal on either a one-week or one-month forward basis.
2/
2/
I watch Micro Caps $IWC and Frontier Markets $FM as ancillary signals of broader "risk off" conditions -- which our primary risk tools are disconfirming. Both are bearish VAMS, but neither has broken to new lows. That is a good thing for broader risk appetite until it isn’t.
3/
3/
Good morning! Options still slightly overpriced despite the overnight rally. There was a slight vol crunch up near the close yesterday, so while the VIX/SPX relationship is still favoring more upside, it will be limited.
I gave a target of 4400 a couple of days ago, and that seems easily attainable, might reach 4420. This rally will likely end by early next week. A lot of puts were purchased this month, and the gamma unwind will be rocky. Also, MMs are still component gamma positive until 4400.
As a side note, McConnell did us a favor. By kicking the can down the road, he gave a template of exactly what the market looks like with the threat of debt ceiling issues. so in late Nov, we can use early Oct as the template for a trade. Thanks Mitch!
