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Sell lows, chase highs pain is back

The Market Ear Picture

Good luck hedging short gamma

SPX futures basically flat here, but with some major intraday moves. As we pointed out earlier today (here), the market traded into rather deep short gamma at lows today, making dealers longer and longer deltas on the way down. Few of those just watch 60 points lower market and were most probably puking deltas close to lows. These same dealers became shorter and shorter deltas all the way up, and post the 75 points move higher from lows, a lot of forced buying has been executed. All this while we are unchanged on the day...

Source: Refinitiv

Nets are not as light anymore

As of yesterday, net leverage ended at 44% which is the 77th %-tile over the last 12M and the 25th %-tile over the last 5 years. Are funds getting more bullish? MS PB data shows covering, not new longs, driving Nets. Net flows to single-name longs have essentially been flat. (Morgan Stanley)

Macro hedge funds now long equities

Not only "no longer short" but actually at a close to 12m long. Could go much longer though...

Source: Barclays

Here is the real chase potential

Mutual funds’ equity beta is depressed. How is that FOMO feeling....?

Source: Barclays

Not enough long

The crowd has been busy chasing equity longs as well as downside hedges, here expressed as the rise in skew. The rise in skew is telling you that people are paying up for downside in relative volatility terms. Makes sense; buying stocks and protection...

Source: Refinitiv

Some stress has moved sharply higher

VVIX and skew have a strong relationship. Skew continues to be well bid...

Source: Refinitiv

As SOX goes...

..goes the market? Let's see, but the short term gap is interesting.

Source: Refinitiv

Semis are hated

Gentle reminder of the great chart via GS on just how hated the semis space is.

Source: GS

Financial conditions - a potential problem

When do loose financial conditions (FCI) become a problem for markets? We are way past Jackson Hole levels...

Source: JPM

 

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