First “big” uptick in MOVE in a while…
Bond volatility waking up slowly?
RefinitivSober October
Seasonal analysis points to a very “clear-headed” october
1. Since 1982, the total advance for the first 5 trading days of October is up 45bps. This is 4x larger than the median weekly return of 12bps.
2. Since 1985, October has the 2nd highest monthly return with a median return of ~200bps. The first 2 weeks are stronger than the second 2 weeks.
3. If S&P is between 0 and 5% heading into Q4, which it is, this produces the highest q4 median gain of 9%Retail Army retreated from the option front in September
Exchange-traded Call Option Buys at Open minus Sells at Open for Costumers with less than 10 contracts for options on individual equities
OCCSystematics no longer asymmetric
Systematic simulated flow is no longer asymmetric:
1. Over the next 1 month: GS in an “up big” scenario forecasts +$78B to buy.
2. Over the next 1 month: GS in an “down big” scenario forecasts -$89B to sell.
3. GS estimate $14B of net buy demand over the next 1 month.
4. GS estimate that exposure has been reduced by $39B over the past 1 month.Retail Army has gone from 13% to 23% of total equity volumes
Source Flow by Retail Brokerage Firm as % of total US equity market volume
Company filing – SEC 606 disclosureGold volatility moves when gold spikes…and it ain’t spiking
Implied trading above realized, not by a huge margin, but for overwriting purposes it looks like “ok value”.
RefinitivApple market cap $1.95tn, Aramco $1.93tn…
Who is biggest in a month?Apple vs Aramco YTD in %
RefinitivRemember Aramco – sometimes dogs come back….even dog sectors
Aramco is back, trading not far from post IPO highs (market cap $1.93 trillion)…when Brent traded at 66 ish.
RefinitivExxon vs oil…inverse Jaws gap compared to Aramco vs oil
RefinitivWill Exxon dog ever come back?
XOM vs Aramco Jaws gap getting rather wide. Time for a pairs trade?
RefinitivSometimes they come back…
Would it be yet another positive surprise for the next 6 months if buybacks come back with a vengeance…?
LOW restarting its buyback program, which has $8.7b remaining. LOW has bought back ~$3.5b of stock annually on average over the past decade and had bought back ~$1b in Q1 before suspending due to COVID. MS research: “We were not modeling buybacks to resume until 2021 (currently modeling $5.5b next year)”
JPM“Modest” call unwind in the top 5 names during the early Sep sell off
Looks like we can’t blame the retail guy for the early Sep “crash”.
JPMThe crowd borrowed (and probably) shorted big size in SPY just before this last bounce
P/l frustration continues on an aggregate basis…second chart shows Sep 24/25 was the recent low and SPY loan stats are last observed on Sep 25.
(click arrow on chart to toggle).
JPM
• •Click here to see all the charts for this postElection protection premium holding highs
This is all but cheap…
VIX November vs October futs spread.
RefinitivNASDAQ and Bollinger
As we wrote on Sep 21, “time for some tech mean reversion…”
NASDAQ bounced perfectly on the lower Bollinger band and is trading just above the “mid line” now.
Let’s see how this ends today, but the short term bounce has played out, here things are becoming more “boring”.
RefinitivChina – where is “our” stimulus?
As Robin Brooks notes one of the narratives, China boosting stimulus, which will spill over to EM, commodities etc…but there is one problem, there is no stimulus by China showing up in German nor Japanese exports.
Robin BrooksDollar – still so so many shorts
Imagine if king dollar came back, if nothing just for a few weeks.
JPM
