Systematic Swings, Big Buybacks and Well bid VIX


The great range remains intact. Playing breakouts, either way, continues to be an expensive strategy.

Source: Refinitiv


They front ran

The systematic crowd "front ran" a further move lower in markets...and are now in chase back longs mode. To us this looks like trading short gamma without receiving theta checks. SPX pivots are: ST 5123, MT 4937 and LT 4616.

Source: GS



Projections via Morgan Stanley's great QDS team. They see "...~$20bn to buy over the week from systematic macro strategies (Vol Target, CTAs, and Risk Parity Funds), mostly from CTAs".

Source: MS


The giant VWAP bid - $5.5bn per day

The buyback bid is back and it is big. Rubner even talks about corporates front loading the approximate $5.5bn daily buying. This VWAP bid is present until 6/14/24.

Sell in May?

DB digs into the details. Chart shows Returns of strategies where you sell US equities at the end of April and buy back at the end of August. Keeping the proceeds in zero interest cash or the US Treasury index. For the rest of the year you stay fully invested in equities.

Source: DB


Well bid VIX

You watch well bid VIX closely...

Source: Refinitiv


From magnifying to suppressing

The change from short to very long gamma has been extreme. Dealers are sellers of deltas on moves higher and buyers on initial moves lower. Chart 1 shows the change, chart 2 absolute levels.

Source: GS


Source: GS


To buy or to buy bonds

CTA projected flows in bonds is to buy or to buy. Chart 2 shows US bond flow convexity.

Source: TME/GS


Source: GS


Not Gamestop...

....but the China long continues squeezing. FXI at the highest levels since August last year and RSI at the most overbought in a long time. The "easy" and contrarian China long trade is gone. Up here things are much more tricky.

Source: Refinitiv



KWEB up almost double the QQQ returns YTD...

Source: Refinitiv


Roaring Kitty

Retail participation in GME is back with a vengeance.

Source: GS