Puts tumbling, oil teasing and QT thundering
Hated puts
The crowd hated puts in time for the early August sell off. They later decided to love puts just in time for the latest squeeze. They have now started "puking" puts, relatively speaking.
Source: Tradingview
Economic surprises not buying the latest squeeze
Citi economic surprise index has imploded lately, the inverse to the SPX move. Sustainable, or?
Source: Refinitiv
NASDAQ - time to chill
NASDAQ's latest moves has led to a lot of frustration. We bounced (twice) on the longer term trend line, and we are above the 50 day again, but note we are approaching the first short term resistance levels. 15600 is the first resistance area to watch, and then the 15800 level.
Source: Refinitiv
Tech discounting...
...a massive fall in the TIPS yield.
Source: CS
iPhone back to growth next year
GS. "Although we forecast iPhone revenue to decline 3% yoy in F2023, iPhone revenue should return to growth in F2024 onwards"
Source: Goldman
Oil - zooming out
Is this a massive golden cross to "care about"?
Source: Refinitiv
Oil leaving breakevens behind
Oil vs US 10 year breakevens gap getting rather wide...
Source: Refinitiv
Exuberant VIX, but...
...the SPX has refused buying the latest VIXimplosion. Let's see how this plays out, but as we outlined in our thematic email earlier today (here), VIX hedges are starting to look attractive here.
Source: Refinitiv
VVIX trying
Nothing huge, but you watch closely when VVIX starts doing these things...
Source: Refinitiv
QT
In the last year or so…fed balance sheet has shrunk from around $8.55 trillion to around $7.6 trillion. That first $1 trillion was against a backdrop of fed funds rate moving materially higher…the next trillion may cause more disruptions. The fed has stated they aim to cut another $1.5 trillion from its balance sheet by mid 2025 and this increase in pace and size of treasury supply is coming at a point in time when global geo-political landscapes have, and continue, to change and as such demand from foreign investors are lower than they once were. Ultimately, this ‘normalisation’ will likely steepen the yield curve even further once again impacting longer term asset/liability mismatches and putting a cap on longer duration asset multiples. Using the analogue of 18/19 and the taper tantrums witnessed then…it is hard to view a world where we don’t see higher volatility. (Bobby Molavi, GS)
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