Waiting for the next direction
Top heavy or mother of all catch-up rallies around the corner?
Twenty S&P 500 stocks account for 90% of Wall Street’s gains this year. The rest will now follow...?
Source: Apollo
Bears beware
This normally only ends in one way........
"Large speculators, mostly hedge funds, saw their net short positions in S&P 500 e-mini futures increase to roughly 321,000 contracts as of Tuesday, according to data from the Commodity Futures Trading Commission. That’s the most bearish reading since November 2011 following the downgrade of the US’s sovereign credit rating."
Source: Bloomberg
Or bears re-group?
The current rally has already wiped out a lot of market bearishness. AAII bear levels match those of the 2022 market peak. Where are we on "talk the talk and walk the walk...?"
Source: Sentiment Trader
Shorts
MS Securities Lending estimates investors added shorts street wide on the order of $27-30bn at the single-name level and $6-9bn at the index level. Single-name shorts as a % of market cap now sits above average at 1.4% (75th %ile vs the last 3Y) vs ETF shorts that remain around median levels at 1.5% (59th %ile vs the last 3Y), per Markit. Across Russell 3000 single-names, Cyclical sectors made up the majority of the short additions. Financials shorts, in particular, stood out in March totaling over $10bn – Financials short interest as a % of market cap is now the highest amongst the sectors at 2.2% (96th %ile vs the last 3Y, per Markit). Shorts across Growth and Defensive single-names mostly netted out to flat on the month.
Source: Morgan Stanley
Say hello to put hate
Who needs puts when the market never sells off...Put call ratio moving sharply lower. The crowd loves loading up on puts when the market makes a local low...and vice versa.
Source: Tradingview
Don't fear the inversion...
...fear the bull steepening. TS Lombard's latest view:
1. Banking woes increase the likelihood of a credit crunch, which could weaken real economic activity.
2. Tighter credit combined with a slowing US economy may lead to a recession with non-linear dynamics.
3. Bullsteepening after an inverted yield curve is a sign of an impending recession and can harm risk assets.
4. Global stocks have held up well despite financial sector turbulence and negative earnings momentum, but the rally may be built on weak foundations due to narrowing breadth and underperforming cyclical sectors.
Source: Refinitiv
Unstoppable bitcoin
What if BTC still represents the "most risk sensitive" psychology of this market? BTC vs NASDAQ updated.
Source: Refinitiv
Never forget bond volatility
The MOVE/VIX ratio still trading at extremely elevated levels.
Source: Refinitiv
The vol/skew gap
Skew continues doing the inverse to what it did in 2022. Skew started going bid this year, and continues to trade well bid. Noteworthy is that fact VVIX has fallen sharply lately, but skew stays relatively well bid.
Source: Refinitiv
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