Last 3 months - just a non-event...
NASDAQ trading at the same levels we traded at in mid June. A lot of things now feel like "truly neutral" and volatility has completely collapsed. How long can it last?
We made it to 100 days
100 days without the SPX selling off 1.5% or more. Will we see 100 more that takes us well into 2024...?
The MS Market Sentiment Indicator, which aggregates survey, positioning, volatility and momentum data to quantify market stress and sentiment, shows that we are in a neutral territory and not anywhere near an extreme.
Source: Morgan Stanley
Equities: The price is right
"If you remove the 7 biggest stocks from the index, the remaining 493 stocks trade at a reasonable 17X P/E. And the median stock in the index also trades at 17X -- a median stock multiple that we have seen frequently since 1995"
Treasuries: The price is right
Treasuries appear somewhat small cheap after controlling for their fundamental drivers...but key conclusion is "about right price".
Breakevens: The price is right
3Y2Y breakevens no longer appear rich relative to commodity prices and credit spreads.
Volatility a teen forever
VIX has closed under 19 for 78 consecutive trading days, the longest streak since early 2020.
Subsiding rates volatility
Volatility in the Treasury market has subsided in recent weeks as a Fed on hold comes into view. The chart shows 1-month rolling range volatility in 2- and 10-year Treasuries.
Absolutely no factor volatility
Never seen these type of small weekly changes for fundamental and technical factors. Was the stock market closed most of last week...?
VIX beta is dead
Nomura's McEligott sums it up well: "... there is just barely any sensitivity in the VIX complex to SPX on pullbacks, with VIX 3m rolling beta to SPX at 19%ile / 1m rolling beta at 28%".
Selling gamma is king
Selling gamma has been a very hot trade lately. McElligott chart showing the "RSI of the P/L". SPY selling 1m Gamma PNL 14 day RSI = 97%ile QQQ = 91%ile. The question is, how many will get sucked into this strategy before it "blows up"?
See TME's daily newsletter email above. For the 24/7 market intelligence feed and thematic trading emails, sign up for ZH premium here.