The long is long
They are long up here
Non dealers US equity futures positioning is rather long again. We have seen slightly longer positioning, but the brutal move since the crowd was short has been extreme.
Source: GS
SPX - economic surprises what?
The gap between Citi economic surprise and the SPX is at very wide levels.
Source: Refinitiv
The buyback "delta" is fading
Credit where credit is due, UBS nailed the buyback bid a few weeks ago. The VWAP machines have been very busy, but this bid is about to fade. From acceleration to deceleration...
Source: UBS
Et tu retail
JPM's market intell team have been spot on when it comes to the latest melt up. They see even further upside. Looks like retail are sucked in as well: "...retail investors may be returning to the market as we saw ~$1.5bn in buying yesterday vs. the one month average of $385mm".
Sentiment in no man's land
The MS "Combined Market Timing Indicator" latest reading is 0.20.
Source: Morgan Stanley
Brent undervalued below USD 80/bbl
"Brent crude below USD 80/bbl is cheap relative to fourth-quarter fundamentals, even after adjusting for bearish developments in the past month....we think Brent prices below USD 80/bbl look meaningfully undervalued..."
Source: Deutsche Bank
Computers and oil
CTAs are buyers of oil in an up scenario.
Source: GS
Under pressure
Soc Gen's great derivatives team sees volatility under pressure in the near term. Equity volatilities have fallen in tandem with falling earnings uncertainty supported by earnings upgrades.
Source: Soc Gen
"Inverse" fear
Not really inverse, but skew continues crashing. The SDEX index has never closed here (now on a daily chart as well).
Source: Refinitiv
Long term protection
Very few are thinking about longer term protection these days, but the cost of a 80% strike put is at the lowest levels in modern times for SPX and the SX5E.
Source: Soc Gen
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