Systematic storm: aggressive gamma and volatility punters

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SPX seasonality is supposed to start around here...

Source: Equity Clock

Oversold

SPX and NDX at most oversold levels since September 2022...

Source: Refinitiv

Computers puking

"On the desk, QDS estimates one-day global equity supply of $18-24bn yesterday, with $6-10bn from systematic macro strategies (vol control + risk parity + CTAs) and $12-14bn from net market short gamma ($8-9bn / 1% from levered ETFs and option dealers). QDS also expects some systematic follow through on the order of $35-40bn in the subsequent 4 days, which could further increase given short-term CTA triggers around the SPX 4265 handle." (Morgan Stanley QDS)

Aggressive short gamma

Dealers remains in deep short gamma territory. The destabilizing force from dealers hedging deltas remains very much intact...and it works both ways. For a 1 minute understand of gamma, see here.

Source: Tier1Alpha

Source: Tier1Alpha

Volatility control punters could be big buyers

Some serious buy orders lining up...Nomura writes: "...see substantial mechanical re-allocation potentials on a scenario where we see daily SPX moves <50bps looking-forward and projecting out over weekly time horizons….and acutely, for today, we anticipate large notional buying on any SPX chg scenario <100bps."

Source: Nomura

TLT fear explosion

The surge in VXTLT is huge...almost makes the VIX move higher look "poor", but chasing protection here is a late trade, unless you think the world is falling apart.

Source: Refinitiv

King dollar

We had the 50 day cross the 200 day a while ago...and now the 100 day crossing above the 200 day as well. Momentum is strong and very few are long the dollar these days.

Source: Refinitiv

Oil equity upside

Our long-dated Brent sensitivity model through 2030 would suggest upside exists to the forward curve and what oil equities are currently discounting ($75-$80/b).

Source: Goldman

Gold - breaking the range

Looks like the rates surge is starting to kick in across assets. Gold vs US 10 year real yield (inverted).

Source: Refinitiv

Gold and the dollar

Gold catching up to the dollar move. Last time the DXY was here gold traded 100 dollars lower. DXY inverted vs gold.

Source: Refinitiv

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