The Market Ear describes the pain.
| What if… |
| …that left tail starts reviving for real (more here)? Updated chart of the 2008 analogy. |
 Refinitiv | |
| SPX – post JH levels to watch |
| SPX is crashing down to the big 4100 level. Today’s candle so far is huge and very important. Consensus for a non even JH was huge, so this comes as a surprise for a lot of people. A close below 4100 and this market could accelerate to the downside (asymmetry etc, more here). First support should we close below 4100 is the 4k area, and then the 3900 level. |
 Refinitiv | |
| VIX – panicky |
| Haven’t seen the VIX behave like this in a while. Hopefully you loaded up on protection when you could…and not when you must. |
 Refinitiv | |
| VIX seasonality |
| Gentle reminder of VIX seasonality over the past 20 years. |
 Equity Clock | |
| Don’t forget short gamma grows to the downside |
| QQQ already in deep short gamma, while SPX is flipping into short gamma land here. Erratic market is back where dealers will puke lows and chase highs…For now selling will be met with more selling. |
 Tier1Alpha |
 Tier1Alpha | |
| The FOMO MOMO – back to where it started |
| The fast (and most sensitive) money was eager to deploy risk into the MEME stuff during the latest squeeze. Note that the MEME ETF is back to where it started….while NASDAQ remains elevated. |
 Refinitiv | |
|
|
| GS: risks to both the near-term pace and terminal rate tilted to the upside |
| “We continue to expect the FOMC to slow the pace from here, delivering a 50bp hike in September and 25bp hikes in November and December, for a terminal rate of 3.25-3.5%. Additional CPI and employment reports will be available by the September meeting, however, and Powell said that another 75bp hike “could be appropriate.” We see the risks to both the near-term pace and our terminal rate forecast as tilted to the upside” (Jan Hatzius, Goldman Sachs) | |
| GS: “Latest TTF rally has overshot fundamentals” |
| “European gas prices have in our view overshot fundamentals fueled by a combination of supply (NS1, LNG) and demand (heat wave, nuclear outages) concerns and exceptionally poor liquidity in the market, illustrated by erratic and sparse intra-day price moves. Even assuming higher forward gas generation demand vs previously owing to more pessimistic nuclear generation and delayed coal restart assumptions, we estimate NW European storage can end summer at 90% full even if 3Q22 TTF prices return to our expected 170-190 EUR/MWh range. In addition, should the upcoming three-day NS1 outage become permanent (not our base case), requiring higher demand destruction, we estimate the region can manage storage levels with 3Q22 TTF at 215-230 EUR/MWh, well below current price levels” |
 Goldman |
 Goldman | |
|
|
| Bullish or bearish |
| In trading you produce one thing only; p/l. Most people spend time on trying to figure out the market, and have zero clue of how they manage their risk. A lot of people have seen a lot of p/l pain this year already, but it is never too late to start with the first lesson of managing your p/l; keeping drawdowns small. |
 TME | |
 |
| Still pretty long equities |
| Yes, “fast-money” and the “absolute community” is not so long equities, but don’t worry, the world is still pretty long….Chart shows BofA private client equity holdings as % of AUM |
 BofA | |
|
|
| Yes, betas are way off highs…. |
| ….but would say a couple of mitigating factors are in play here. First, the CTA / Macro data looks a bit dated. Think the macros have a small short but they will not chase an up-tape. The CTAs have done a lot of buying lately and are much more likely sellers from here. Second, equity long/shorts are still long-biased and find it very hard to see the near/medium term catalyst that would make them start chasing long exposure. |
 Barclays | |
| Positioning far from “extremely light” |
| Goldman’s excellent positioning indicator is a) still not in “extremely light” territory and b) way off extremes seen earlier in the year and c) around average for where we have been since equities peaked. Pretty much what you would expect when you are in a bear market… |
 Goldman | |
| Short squeeze played out |
| The JPM “High Short Interest Basket” underperformed -4.95% over the week, not a horrible number given how shitty these stocks are. 55% of basket constituents (75 members total) saw net shorting WoW while 43% saw net covering (2% were flat) – pretty balanced. Heavy shorting (>+30%) was seen in BYND, JWN, and UAA and heavy covering was seen in FL (-26%), PLUG (-20%), and TLRY (-20%). Overall we would say that the short squeeze and subsequent pullback is over for now and here on these companies can start trading more on their (shitty) fundamentals…. | |
|
|
|
|
|
|
| The crowd is short |
| Yes, net non commercial shorts in VIX futs is at the highest levels since March 2021. Obviously, part of these VIX short futs are hedges and offsets other risks, but still worth pointing out. |
 Refinitiv | |
| Downside asymmetry |
| Just in time for when everybody started front running the last phase of the CTA buy flow market decided crashing and the CTA crowd is now busy selling, chasing “the big short” again. Recall what GS wrote earlier this week: “Over a month in a ‘large down’ tape scenario, CTA need to sell $155bn”. Friday was big… |
 GS |
| Downside asymmetry (II) – QQQ back to “deep short gamma” |
| The great “erratic” market makes a comeback. Friday’s px action was traumatic for most, especially the short gamma crowd, as dealers became longer and longer deltas as equities crashed. This market is extremely fragile now as short gamma will act as a “de-stabilizer”, basically magnifying all moves. Timing is delicate as most big players remain in vacations mode, affecting liquidity. Reshuffling big books won’t be easy. |
 Spotgamma | |
|
| |
