Boredom persists, but downside convexity is back

Boring is king

NASDAQ continues trading the incredibly boring range in April. We have basically seen a 2.5% max move from low to high so far in April.

Source: Refinitiv


Don't brag you trade NASDAQ

It is not a cool thing these days. NASDAQ 1 month and 5 days realized volatility.

Source: Refinitiv


...but downside convexity is back

Latest CTA flow projections via Goldman's flow guru Scott Rubner:

1 week: - flat tape: +$5.7bn to buy, up tape: +$7.1bn to buy, down tape: -$36.2bn to sell

1 month: - flat tape: +$100mm to buy, up tape: +$11.1bn to buy and the "kicker" - down tape: -$222bn to sell

Source: GS


Bitcoin - did they get excited at highs?

Biggest inflow to bitcoin in a long time. Did they manage timing the most recent highs?

Source: JPM


NAAIM double

NAAIM Exposure 78. Almost a doubling in one month.

Source: NAAIM


Rates expectation have repriced

In response to Fed speaks, better than feared economic data and perhaps better than feared bank earnings thus far, the rates expectation has repriced. The probability of rate cut in Nov meeting is down significantly whilst the probability of 25bps rate hike is now 88% vs. 70% prior. 21st vs 13th in the 2 charts...

Source: Morgan Stanley


Source: Morgan Stanley


Gamma "imbalance" reminder

Dealer gamma profile is changing post today's expiration. JPM writes: "... after today’s expiry dealers would likely be significantly short gamma (put imbalance) below ~4050, flat gamma near 4100-4125, and significantly long gamma (call imbalance) above ~4150."

Source: JPM


Never underestimate the VVIX

The VIX vs VIX gap is very wide here. This matters...

Source: Refinitiv


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