High conviction neutral

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?

Source: Refinitiv


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...?

Source: Refinitiv


High-conviction neutral

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"

Source: Goldman


Treasuries: The price is right

Treasuries appear somewhat small cheap after controlling for their fundamental drivers...but key conclusion is "about right price".

Source: JPM


Breakevens: The price is right

3Y2Y breakevens no longer appear rich relative to commodity prices and credit spreads.

Source: JPM


Volatility a teen forever

VIX has closed under 19 for 78 consecutive trading days, the longest streak since early 2020.

Source: Barchart


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.

Source: JPM


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...?

Source: Goldman


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%".

Source: Nomura


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"?

Source: Nomura


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