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      Bull bodies:  VIX and S&P 500 P/E

       Risk appetite is improving, volatility compressed across asset classes, positive for equities

      Bull bodies:  VIX and S&P 500 P/E
      Source: Macrobond
      Watch possible "gamma sweating" should this turn lower again

      Nomura's quant explains the move yesterday;

      And here is why this this matters: as stated in the note to this point, yesterday was classic butterfly effect knock-on, with a “macro catalyst” from the COVID wave #2 risk-off trade which then triggered “profit-taking-turned-stop-loss selling” from both tactical discretionary traders and the super euphoric / frothy retail set

      And yes, as aforementioned systematic “sell” flows kicked-in (pressing shorts or outright “long selling and flipping short,” this then ultimately created the “accelerant” for this very “GAMMA” –centered move as Vol Dealer hedging was heavy into close

      But that too is a large part of why we’ve snapped back, especially as I don’t see much of any expected follow-through flows immediately here (although we will AGAIN need to reset these expectations into next week’s SERIAL / QUARTERLY Options Expiry)

      We showed the chart below 2 days ago, showing where the big open interest is for next big expiration.

      Note we have obviously moved away from what is spot level on the chart.

      Watch possible "gamma sweating" should this turn lower again
      Source: GS
      Run it hot

      Cyclicals vs. Defensives are on their best run since 2016.

      Run it hot
      Source: Morgan Stanley
      Lever up

      Net leverage has been creeping higher and higher. Now at a respectable 99% (3-year).

      Lever up
      Source: JPM PI
      Retail roaring

      JPM: "Since November 25th, coming into Friday's session, we have seen 8 consecutive days of retail net buying close to or above $2bn per day [the most over that length since at least Sep."

      Retail roaring
      Source: JPM Retail Radar
      3 sigma

      "...things have flipped as buying has picked up strongly across multiple cohorts such that the 1wk change metric for our US Tactical Positioning Monitor is at +3z."

      3 sigma
      Source: JPM PI
      BTD: The inflow beat

      "The equity inflows boom continued through the November pullback, in sharp contrast to past pullbacks which typically saw outflows. This week however saw inflows continue but slow sharply."

      BTD: The inflow beat
      Source: EPFR
      Top of range

      "Discretionary investors have raised exposure only to the top of the cautious range they have been in since March."

      Top of range
      Source: Deutsche Bank
      Modestly overweight again

      "After the momentum reset, equity positioning had turned underweight by the 3rd week of November, for the first time since July. Over the last two weeks, equity positioning has rebounded to turn modestly overweight again (0.30sd, 60th percentile), close to levels seen in late October."

      Modestly overweight again
      Source: Deutsche
      Systematics

      "The wave of systematic selling has faded, and vol-targeting strategies are starting to re-lever ... After two weeks of steady non-fundamental supply, CTA, Vol-Control, and Risk-Parity strategies have begun to re-add exposure as realized volatility declines."

      Systematics
      Source: Scott Rubner
      That's new

      AAII bull getting very bullish, and bears throwing in the towel, "printing" close to lowest levels of the year.

      That's new
      Source: LSEG Workspace