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
See TME's daily newsletter email above. For the 24/7 market intelligence feed and thematic trading emails, sign up for ZH premium here.