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    The support from monetary policy for risk appetite has started to fade

    GS: the majority of the boost to risk appetite from 'monetary policy' is likely behind us

    The support from monetary policy for risk appetite has started to fade
    Goldman

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    Treasury and equity volatility live in different worlds

    TYVIX vs VIX needs little commenting.

    Treasury and equity volatility live in different worlds
    Thomson Reuters

    ML on Autos: see little sign of a real recovery into 2020

    While sector valuations remain close to historical lows, the rallies this year have been short-lived and have been followed by bigger sell-offs. We believe this trend will continue as we see little sign of a real recovery into 2020.

    ML on Autos: see little sign of a real recovery into 2020
    ML

    Yuan - 7.2 would be "interesting"

    Yuan - 7.2 would be "interesting"
    Thomson Reuters

    S&P - getting excited about a break out has been wrong so many times

    S&P - getting excited about a break out has been wrong so many times
    Thomson Reuters

    VIX term structure crashing big as "hate protection" is the new normal - gamma getting interesting here

    VIX term structure crashing big as "hate protection" is the new normal - gamma getting interesting here
    vixcentral

    Q3 - low enough?

    EPS forecasts have declined from -1.8% to -5.2% over the past few months

    2020 Earnings expectations are too high (and everyone knows it...)

    2020 Earnings expectations are too high (and everyone knows it...)
    ML FMS

    Good News is Good News - Changing Sensitivity to Macro Surprises

    GS:

    Our cross-asset risk appetite indicator (RAI) has been rangebound since Q1 2019. Slowing global growth YTD has weighed on risk appetite but easier monetary policy has buffered weaker data - 'bad news' eventually were 'good news' as they drove dovish monetary policy responses.

    However, over the summer our RAI has started to become more positively correlated with macro surprises, so 'good news' are currently 'good news'. Both equities and bond yields react positively to better data, which indicates that the support from monetary policy might be fading.

    Good News is Good News - Changing Sensitivity to Macro Surprises
    Goldman Sachs

    Trade War Tail risk (to the upside)

    Trade War Tail risk (to the upside)
    ML

    Melt-up backdrop

    No one is overweight equities. or at least the smallest % in a very long time

    Melt-up backdrop
    ML FMS

    Watching yields (2) - US 10 year breakout in the making?

    What happened to the recession?

    Watching yields (2) - US 10 year breakout in the making?
    Thomson Reuters

    Watching yields (1) - German 10 year breakout in the making?

    Watching yields (1) - German 10 year breakout in the making?
    Thomson Reuters

    Reverse panic

    VIX versus VIX futures spread for some perspective.

    Time to chase laggards?

    EEM breaking above the trend line here and has under performed for a long time.

    EM calls relative to SPX are cheapest in a decade according to Goldmans.

    Time to chase laggards?
    Thomson Reuters

    Will the crowd ever get greedy?

    Will the crowd ever get greedy?
    CNN

    It's so bullish, even the Turkish ETF, TUR is green on the day, +1.66%

    Harnett's S&P 3300 level starting to look "likely"?

    Harnett's S&P 3300 level starting to look "likely"?
    Thomson Reuters

    VIX -6% at 13.65, V2X -10% at 14.28, VXEEM -1.5% at 16.8, TYVIX unch at 5.26, OIV -3% at 39.4, GVZ -1.9% at 15.35

    GBP 1 month volatility surging further

    GBP 1 month volatility surging further
    Thomson Reuters

    The question is will the GBP "push" above the trend

    The question is will the GBP "push" above the trend
    Thomson Reuters

    still massive consensus on rates

    still massive consensus on rates
    FMS ML

    VIX futures spread "collapsing" and approaching calm pricing of risk once again as demand for short term protection vanishes by the hour

    Our favourite VIX 2 vs 8 months spread.

    VIX futures spread "collapsing" and approaching calm pricing of risk once again as demand for short term protection vanishes by the hour
    Thomson Reuters

    Two pathways, one USD outcome

    MS: In the US, it may have to be the other way around. Here, the fiscal balance sheet looks stretched and in need of consolidation, while the Fed has more room to manoeuvre should the economy weaken from here, putting the USD under selling pressure. Alternatively, USD would also weaken in a scenario of the global economy rebounding from here. In this case, the theme of growth synchronisation would play out, creating USD funding demand and leading towards USD weakness.

    Two pathways, one USD outcome
    MS

    a down tick in recession expectations

    a down tick in recession expectations
    FMS ML

    Uber: Profitable already in ride sharing in the US?

    New Street Research: "we did further analysis on Uber’s ride sharing business in the US, to conclude it is likely breaks even, with a 3% EBITDA margin (as a percentage of bookings, i.e. in the 10% region, as a percentage of revenues)

    "our new analysis provided additional exciting insights: Uber literally crashed take rates in Eats and international ride sharing in the last 12 months, which we see as aggressive investments in building select sustainable competitive positions, which will eventually result in material margin expansion.

    With that work, we increase our level of confidence in the value case for Uber"

    New Street Research

      The support from monetary policy for risk appetite has started to fade

      GS: the majority of the boost to risk appetite from 'monetary policy' is likely behind us

      The support from monetary policy for risk appetite has started to fade
      Goldman

      Good News is Good News - Changing Sensitivity to Macro Surprises

      GS:

      Our cross-asset risk appetite indicator (RAI) has been rangebound since Q1 2019. Slowing global growth YTD has weighed on risk appetite but easier monetary policy has buffered weaker data - 'bad news' eventually were 'good news' as they drove dovish monetary policy responses.

      However, over the summer our RAI has started to become more positively correlated with macro surprises, so 'good news' are currently 'good news'. Both equities and bond yields react positively to better data, which indicates that the support from monetary policy might be fading.

      Good News is Good News - Changing Sensitivity to Macro Surprises
      Goldman Sachs

      Melt-up backdrop

      No one is overweight equities. or at least the smallest % in a very long time

      Melt-up backdrop
      ML FMS

      Watching yields (2) - US 10 year breakout in the making?

      What happened to the recession?

      Watching yields (2) - US 10 year breakout in the making?
      Thomson Reuters

      Reverse panic

      VIX versus VIX futures spread for some perspective.

      still massive consensus on rates

      still massive consensus on rates
      FMS ML

      VIX futures spread "collapsing" and approaching calm pricing of risk once again as demand for short term protection vanishes by the hour

      Our favourite VIX 2 vs 8 months spread.

      VIX futures spread "collapsing" and approaching calm pricing of risk once again as demand for short term protection vanishes by the hour
      Thomson Reuters

      Fund Manager Survey: Defensives still rule the day

      Fund Manager Survey: Defensives still rule the day
      FMS ML

      This ain't no dead cat bounce

      Fed balance sheet continues the trajectory higher.

      This ain't no dead cat bounce
      Thomson Reuters

      Oil refuses and the gap versus S&P widens

      Oil refuses and the gap versus S&P widens
      Thomson Reuters

      Eurostoxx50 volatility - What a difference in 2 weeks

      Term structure below shows the slope 2 weeks ago, when everyone was scared, versus how it looks today. Overall volatility is down, but the move lower in shorter term vols is rather extreme.

      Gamma is getting rather cheap here, use it for break out plays or replacing longs/hedging with cheap upside calls.

      Eurostoxx50 volatility - What a difference in 2 weeks
      Thomson Reuters

      High option skew suggests investor concerns and cheap upside hedges

      High option skew suggests investor concerns and cheap upside hedges
      Goldman

      Global Gross and Net Leverage

      JPM Prime Brokerage data shows how net leverage is creeping higher and closing in on 12m and YTD highs.

      Global Gross and Net Leverage
      JPM

      Options imply that the average stock is likely to move +/-5.3% on its respective earnings day

      This is the 4th highest average implied move in the past 34 quarters.

      GS options desk

      MS Strategists remain deeply bearish

      1. Zezas: "...we think Friday’s announcement falls short of a ‘durable pause’: an arrangement that’s concrete enough to drive a firm expectation that trade escalation is over...there is not yet a viable path to existing tariffs declining, and tariff escalation remains a meaningful risk. Thus, we do not yet expect a meaningful rebound in corporate behavior that would drive global growth expectations higher."

      2. Vishi: "While the US consumer’s balance sheet is in fine shape overall, mainly because levels of debt and debt-servicing costs remain low, there’s a segment whose income statements are under stress –rental households with lower income and lower credit scores. How big are they? ...about 28% of the population. If the direction of gains in employment reverses, look for the cracks highlighted by our US economics, cross-asset and equity strategy teams to widen. These cracks tend to lead an overall downturn in household creditworthiness..."

      3. Wilson: "With last week's trade negotiation behind us, we fail to see any meaningful impact on the real economy in the near term and the result may even exacerbate real risks around inventory draw & labor. Friday should mark near-term highs for indices...We expect the next few weeks / month to resemble what we saw last December albeit less dramatic given the lower interest rates and easier monetary policy that now prevails."

      MS Strategists remain deeply bearish
      Morgan Stanley

      Gentle reminder on the Yuan vs VIX "relationship"

      Volatility does not trend over time for obvious reasons, but sharp moves in Yuan should be watched closely as VIX has move in tandem with the Yuan at times of sharp Yuan moves.

      Gentle reminder on the Yuan vs VIX "relationship"
      Thomson Reuters

      Playing poker with Xi is not easy - China wants more before signing the light deal

      Yuan moving on this one...

      Playing poker with Xi is not easy - China wants more before signing the light deal
      Thomson Reuters

      HFs feeling some BoJo MoJo

      1. Hedge funds’ net positioning in UK equities has been trending more positive in recent weeks.

      2. Since falling to a three-year low in late July, the long/short ratio in UK equities on the GS Prime Brokerage book has increased by +21% to 2.10, the highest level since January and in the 42nd percentile vs. the past three years.

      3. Excluding price movements UK equities have seen cumulative net buying of +27% since late July, driven by both long buys and short covers.

      HFs feeling some BoJo MoJo
      Goldman Sachs

      Hard facts do not care about your bearish feelings....

      Hard facts do not care about your bearish feelings....
      SEB X-Asset

      US 10y above 3m rate for the first time since May

      US 10y above 3m rate for the first time since May
      SEB X Asset

      Returns cross asset since Trade War started (and YTD)

      Returns cross asset since Trade War started (and YTD)
      JPM

      what keeps a bull up at night?

      There hasn’t been a growth lift yet from the broadest DM central bank easing since 2015/16 and the broadest EM cuts since the GFC

      Chart: Number of DM and EM central banks cutting policy rates each month

      what keeps a bull up at night?
      JPM

      cross-asset: YTD

      cross-asset: YTD
      GS

      Cross-Asset: the week

      Cross-Asset: the week
      GS

      Markets do not crash when people are in fear - and we still see no signs of greed at all despite the rally

      Markets do not crash when people are in fear - and we still see no signs of greed at all despite the rally
      CNN