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    calm before the storm

    SPY volume almost as low as the last two market tops

    calm before the storm
    Crescat

    German Bund yields now negative out to 17yrs

    Gold resistance

    Gold's 7th attempt to break a major resistance which has stood in place for 6 years.

    Gold resistance
    tiho brkan

    GS on ECB

    The Governing Council will discuss further easing options in coming weeks, which we see likely focusing on:

    1. changes to the ECB’s rate guidance, such as the re-introduction of the easing bias and its conditionality;

    2. further rate cuts flanked by mitigating measures; and

    3. additional asset purchases subject to an adjustment of the self-imposed limits.

    Goldman

    initial FED cut and recessions

    With the exception of 1967 and 1996, all other initial Fed rate cut has been associated with an oncoming or ongoing recession.

    initial FED cut and recessions
    Hussman

    Commercial property crushes residential

    Commercial property crushes residential
    Goldman

    only 8 days left of the quarter. What is the "quarter-end" rebalancing analysis saying?

    and only 6 days left to buyback restriction

    Bears faced a nearly impossible set of headlines today

    "Short" angst coming up ahead of the mega catalysts in the next few days.

    If this is to break up or not tomorrow is to be seen, but equity index gamma is getting rather cheap, especially upside calls.

    Before putting on too much options risk, consider what you are hedging or speculating about.

    Since vol is directly proportional to the square root of time, don't forget a 1% move is approx 16% implied vol.

    SPX skew.

    If this is to break up or not tomorrow is to be seen, but equity index gamma is getting rather cheap, especially upside calls.

    Oil volatility - unless you believe oil is about to crash (further) then oil vol is all but cheap.

    Blue implied and 30, 60 realised vols.

    Oil volatility - unless you believe oil is about to crash (further) then oil vol is all but cheap.
    Bloomberg PLC

    ....and the July implied probabilities....

    cut 83%, no change 17%.

    ....and the July implied probabilities....

    *BORIS JOHNSON: WE MUST LEAVE EU ON OCT. 31

    Fed tic toc...implied probabilities for tomorrow.

    Cut 23%, no change 77%.

    Fed tic toc...implied probabilities for tomorrow.
    Bloomberg PLC

    Crude showing signs of life today.

    The oil trade here is complex, but remember oil is full of credit related risk, and given the move in credit, and if oil is to continue trading in tandem with credit, a "mean reversion" could be setting up.

    Credit, CDX IG, inverted on the chart.

    Crude showing signs of life today.
    Bloomberg PLC

    China A50 futures at highest levels since early May.

    China A50 futures at highest levels since early May.
    Bloomberg PLC

    *TRUMP `CERTAINLY NOT' TRYING TO START WAR W/ IRAN: MCCONNELL

    US 2 year round trip - from 1.87% to 1.80% and now back to 1.87%....

    US 2 year round trip  -  from 1.87% to 1.80% and now back to 1.87%....
    Bloomberg PLC

    VIX and Oil volatility - "funding" VIX hedges by selling Oil vol could still be an interesting relationship that could come in quickly.

    VIX and Oil volatility  -  "funding" VIX hedges by selling Oil vol could still be an interesting relationship that could come in quickly.
    Bloomberg PLC

    Lot of superlatives among analysts today regarding the FB crypto bull. Wonder if there is a superlative for the big reversal candle today?

    Lot of superlatives among analysts today regarding the FB crypto bull. Wonder if there is a superlative for the big reversal candle today?
    Bloomberg PLC

    VVIX (vix of vix)rather green on the day.

    VVIX (vix of vix)rather green on the day.
    Bloomberg PLC

    NASDAQ - possible shooting star right on the huge 8k resistance.

    Would be epic....

    NASDAQ - possible shooting star right on the huge 8k resistance.
    Bloomberg PLC

    *BORIS JOHNSON RECEIVES 126 VOTES IN TORY CONTEST

    Beyond meat - now that's a huge candle...

    Beyond meat -  now that's a huge candle...
    Bloomberg PLC

    One of the bigger model hedge funds we track, +4% in June.

    Below the CTA index, not a bad June so far.

    One of the bigger model hedge funds we track, +4% in June.
    Bloomberg PLC

    Housing starts and permits: little cause for concern

    Although housing prices continue to show signs of cooling and some other housing indicators have wobbled in recent months, this morning’s starts and permits data suggest little cause for immediate concern

    Housing starts and permits: little cause for concern
    JPM

      Oil volatility - unless you believe oil is about to crash (further) then oil vol is all but cheap.

      Blue implied and 30, 60 realised vols.

      Oil volatility - unless you believe oil is about to crash (further) then oil vol is all but cheap.
      Bloomberg PLC

      VIX and Oil volatility - "funding" VIX hedges by selling Oil vol could still be an interesting relationship that could come in quickly.

      VIX and Oil volatility  -  "funding" VIX hedges by selling Oil vol could still be an interesting relationship that could come in quickly.
      Bloomberg PLC

      Quick update of Euro credit vs Eurostoxx 50 futures as the moves in credit are absolutely huge.

      Note credit is inverted.

      Quick update of Euro credit vs Eurostoxx 50 futures as the moves in credit are absolutely huge.
      Bloomberg PLC

      *TRUMP: GERMAN DAX 'WAY UP' DUE TO DRAGHI, 'VERY UNFAIR' TO U.S.

      NASDAQ still better YTD, but seems Trump looking intra day....

      *TRUMP: GERMAN DAX 'WAY UP' DUE TO DRAGHI, 'VERY UNFAIR' TO U.S.
      Bloomberg PLC

      VIX is down, but even more important is the fact the VIX futures curve is taking new recent lows as demand for short term protection goes out of fashion.

      The 2 vs 8 months spread now at -1.18...soon entering calm space we have not seen in a while.

      VIX is down, but even more important is the fact the VIX futures curve is taking new recent lows as demand for short term protection goes out of fashion.
      Bloomberg PLC

      Melt up?

      If this decides melting up for real, upside calls are not overly expensive...

      Eurostoxx 50 upside calls lowest in a while.

      Cheap hedges/speculative longs should this decide melting up.

      Melt up?
      Bloomberg PLC

      Global negative yielding debt....

      Global negative yielding debt....
      Bloomberg PLC

      Buyback as a style peaked in 2014

      been flat-lining for the past few years.

      not under-performing yet.

      do think it helps overall market massively though.

      Buyback as a style peaked in 2014
      Refinitiv

      Eurostoxx 50 volatility, V2X, new recent lows, but if you "believe" credit is the risk driver, V2X still trades "rich" on a relative basis.

      Looks cheap options coming up soon...

      Eurostoxx 50 volatility, V2X, new recent lows, but if you "believe" credit is the risk driver, V2X still trades "rich" on a relative basis.
      Bloomberg PLC

      Eurostoxx 50 melt up?

      From yesterday;

      "One way to "hedge" or "speculate" is via relatively cheap upside index optionality.

      If they take out the 3400 level, it could go fast."

      https://themarketear.com/posts/cyUAL5no-

      It seems to have started...given the poor liquidity things could move quickly...gamma is not expensive.

      Eurostoxx 50 melt up?
      Bloomberg PLC

      Economic Data Vol all time low

      Economic Data Vol all time low
      Goldman

      Credit vs Eurostoxx 50 futures - despite the doom and gloom people are preaching, credit as a huge driver of risk continues.

      Euro credit, iTraxx main, vs Eurostoxx 50 futures move in tandem. Credit went from "overly fearful" to "very optimistic" from June 1st...

      Note credit is inverted.

      Credit vs Eurostoxx 50 futures  -  despite the doom and gloom people are preaching, credit as a huge driver of risk continues.
      Bloomberg PLC

      And people wonder why yields are going one way in Europe....

      And people wonder why yields are going one way in Europe....
      Nordea

      ultra-bullish for contrarians

      1. Global and European investors are now firmly bearish.

      2. Risk-taking is near cycle lows and

      cash levels are at cycle highs (European at 5.1% and Global at 5.6%)

      3. The most crowded asset in the survey is safe-haven “long US treasuries” and the

      net % of investors expecting lower long-term bond yields is the highest since Q4’08

      4. Eurozone equity allocation is at net 8% UW, joining the perennial underweight

      on UK equities (net 24% UW).

      5. This bearishness is attributable to the trade war seen as the biggest tail-risk

      6. Investors stay hedged for a sharp fall in equities

      7. in aggregate the readings from the survey are ultra-bullish for contrarian equity investors.

      ML Fund Manager Survey
      ultra-bullish for contrarians
      ML Fund Manager Survey

      Chinese Real Estate Giant Yinyi Group Files for Bankruptcy

      (Yicai Global) June 18 -- Yinyi Group, a real estate company founded by Xiong Xuqiang, the richest man in East China's affluent port city of Ningbo, has filed for bankruptcy reorganization, it announced yesterday.

      With a fortune of CNY29.5 billion (USD42.6 billion), Xiong ranked 95th on last year's 'Hurun China Rich List' compiled by Luxembourger researcher Rupert Hoogewerf and was dubbed Ningbo's wealthiest resident.

      Yicai Global

      Merger Monday

      there were a bunch of M&A deals on the tape this morning.

      Could "merger mania" happen now? It fits so well with multi-year bull at highs...

      1. BID(will be bought by Patrick Drahi for $57/shr. cash or $3.7B

      2. CIR (CR commences a tender offer to buy CIR for $45/shr. cash or $1.7B)

      3. FRAC will buy CJfor 1.6149 shares (or ~$745MM)

      4. PB will buy LTXBfor $41.78/shr.cash and stock or $2.1B

      5. PFE will buy ARRY for $48/shr. cash or $11.4B

      You know who is buying....

      and buyback black-out is approaching....

      Somehow, the sell-off this spring might have been a delayed "vacuum" effect of the previous black-out. And this one will happen in "summer illiquidity"

      You know who is buying....
      Credit Suisse

      There is a slight "gap" between bond (MOVE) and FX vol.

      They must not necessarily move in tandem, but they tend to "follow" each other.

      Time for a mean reversion trade or is convexity alone killing this relationship?

      There is a slight "gap" between bond (MOVE) and FX vol.
      Bloomberg PLC

      Nothing huge at this time, but....

      .... note the recent divergence between the SPX and the Tradpaus index.

      (Tradpaus measures the % of stocks above their 200 day average...and you don't want to see longer term divergences).

      Nothing huge at this time, but....
      Bloomberg PLC

      VIX futures - stress continues easing....

      VIX futures - stress continues easing....
      Bloomberg PLC

      It's not only European inflation that is going one way...

      US 5 year forward break evens been crashing lately as well.

      It's not only European inflation that is going one way...
      Bloomberg PLC

      You can't blame the ECB for not trying at least, but...

      ...inflation refuses.

      You can't blame the ECB for not trying at least, but...
      Bloomberg PLC

      Singapore diving lower.

      Non oil domestic exports as well as electronics dumping as trade war heats up.

      Singapore diving lower.
      Bloomberg PLC

      THIS only happens ahead of recessions or severe financial stress

      Can we have both?

      THIS only happens ahead of recessions or severe financial stress
      JPM

      Eurostoxx 50 seems to have parked at these "high" levels post the bounce. Most people seem to expect a pullback, but what if it doesn't occur?

      3400 is a huge resistance, but the longer the index stays here, the more "nervous" will people become. Should the crowd decide to let go of the fear and start buying this above the 3400 level, things could get "dynamic", especially as liquidity is drying up.

      Eurostoxx 50 seems to have parked at these "high" levels post the bounce. Most people seem to expect a pullback, but what if it doesn't occur?
      Bloomberg PLC