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Squeezy

The Market Ear Picture

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SPX is up 3.2% from recent lows

Back above 4k and people are still waiting for new lows...

Source: Refinitiv

Evaporating puts

As we outlined yesterday in our thematic email (We will probably bounce here), the institutional players loaded up on puts just in time for the bounce. Note they loaded up on single stock puts, and not index puts. Second chart shows that this put buying has led to "...MONSTER richening in Put Skews (wingy downside) to some “extreme” levels amongst key S&P Mega Cap Tech / Growth type names". Index skew on the other hand remains depressed (chart 3).

Source: Nomura

Source: Nomura

Source: Refinitiv

CTAs - will they get caught again?

The CTA crowd loaded up on longs just in time for the latest reversal lower. They switched that small long into a short. Yesterday was painful, but things could get even more painful should the CTA short need to start buying again. McElligott's levels in chart 2. As we have written over past months, CTAs make money when markets trend, where they ride momentum. These strategies have worked poorly in equities land lately.

Source: Nomura

Source: Nomura

How did CTAs make 29% this year...?

CTAs are now short $29.3bn in global equities vs being long $62.2bn in mid-August, according to GS. How do these guys make money.....not in equities....?

Source: HFR

Short gamma = erratic markets

We have moved away from "very" short gamma, but remain in short gamma land. Note the flip levels is still higher, so dealers will continue to chase deltas on the way up, and puke deltas should we turn lower again.

Source: Tier1Alpha

Still in fear

Market remains in fear...despite yesterday's shock therapy and today's up day.

Source: CNN

Source: CNN

HYG participating

Note that the HYG is participating in this latest move higher in risk. As we pointed out yesterday (here), there is a lot of short gamma to consider in the HYG.

Source: Refinitiv

The JPY short

JPM's position proxy of the crashing JPY. Let the trend be your friend, but is this getting slightly too extreme?

Source: JPM

The JPY chaos in two pics

It is hard to find superlatives for the JPY move, but Mizuho sums it up well: "JPY passes 144/USD, moves 3x as much as a normal year". Go figure the fragility of the system...

Source: Mizuho

Source: Mizuho

RSI extreme - FX edition

Two of the more notable movers are the JPY and the GBP. We know extreme RSI can get even more extreme, but these two are getting very very extreme...

Source: Refinitiv
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