VIX 1st month futs vs SPX gap getting rather wide here. Which one do you trust?
Refinitiv
By now even the sales guys that have little clue about bond volatility, MOVE index, have been busy sending us the bond vs equity vol gap. Is this the inflection point when bond volatility turns lower? We have seen MOVE move slightly lower and VIX spike. Nothing huge yet, but watch it closely.
Refinitiv
Table shows percentile of a range of sentiment indicators. Significant downtick since 1m ago
Goldman
80% are 10% down from 52 week high. 55% are more than 20% down. Go figure…
Tier1Alpha
Things are awful, but is consensus getting very consensus? JPM’s Elan Luger points out a few relevant bullets:
1. What had been heavily debated in Q1 is now the overwhelming consensus.
2. Everyone is a bear.
3. China is shutdown, inflation is running wild, Russia / Ukraine continues to impact supply chains, animal spirits are dead, the fed has lost control etc.
4. JPM’s running assumption has been “fair value” for this market ~$4200 which is 15-16x 2023 EPS which was the multiple the last time the 10 year was at 3%
5. Investors haven’t been as unanimously bearish since ’08.
6. There is no rally like a bear market rally. Maybe this week’s CPI is the catalyst?
Over the last decade, more than 50% of the time, Bitcoin has been in > 50% drawdown. Largest ones
2017-2018: -84%
2019-2020: -71%
2021-2022: -57%*
2020-2021: -55%
@Convertbond
Believe it or not, but US 10 year is trading at the same levels we traded at on April 19/20. The perception of rising yields is stronger than the actual move. Let’s see if NASDAQ starts focusing on this, but if NASDAQ is to “catch up” to where the 10 year traded on April 20, there is almost some 1600 points to “explore”…
Refinitiv
Can we get a 100 print and thereby a -2% US GDP impact print…? The nominal GS US Financial Conditions Index tightened by 17.2bp to 99.07 over the last week, mostly due to a higher 10-year Treasury yield, and the real GS US FCI tightened by 20.5bp to 98.41
Goldman
One of the largest drawdowns for a risk parity strategy. Based on 3-month volatility.
Goldman
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