Less oversold

NASDAQ - third time is the charm

Bouncing on the huge 10800 again...

Source: Refinitiv

Come on VIX

Can we get one last volatility puke in 2022? VVIX at lowest in forever. We are still hopeful of one more VIX "reset" that opens up for great 2023 long vol/hedging trades.

Source: Refinitiv

Skew - the round trip

Rising skew and rising SPX has tended to lead to SPX reversing lower, as well as skew "resetting". Monetizing puts in a pic...

Source: Refinitiv

A bid gone. A seller here...

...and liquidity no where to be found

1. 56% of SPX companies are currently in their buyback blackout period; 70% will be in blackout by end of the week

2. CTAs have sold $12BN of equities this week

3. ES has $5mm top of book liquidity

(GS trading desk)

Convexity

CTAs have sold rather big recently, but we potentially have juicy flows from this crowd in a 2 sigma move scenario over the coming month, up big = approx $90bn to buy, down big = $126bln to sell according to GS.

No soft landing

The economy will not achieve soft landing next year and there are tougher times ahead for consumers. The bottom quintile has already burned through excess COVID savings. MS expects the bottom 40% of income buckets to burn down excess savings from post-COVID stimulus by end of 2024.