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    The EM equity inflow beat goes on

    Flows into mutual funds and related investment products showed continued demand for pro-cyclical assets, including EM bonds and equities.

    The EM equity inflow beat goes on
    Source: EPFR

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    Vaxx on Vaxx off

    Five key takeaways on vaccines from a CDC panel:

    (1) overall acceptability of a COVID-19 vaccine was moderate with 42-86% intending to receive the vaccine. A large national survey evaluating people's intention to take the vaccine declined from 72% in May to 51% in September

    (2) Common concerns cited for not taking the vaccine included the potential for side effects, uncertainty around efficacy and low risk perception of COVID-19 or severe disease

    (3) Between September and October, 63% of healthcare workers surveyed indicated that they would take the vaccine

    (4) All COVID-19 vaccines in the US will be free of charge

    (5) Several panelists noted the complexity around having people come back for the second booster shot one month after the prime dose.

    CDC per MS
    Vaxx on Vaxx off
    Do you buy extremely oversold gold trading slightly below the 200 day moving average, or do you chase copper here...

    ...that has dislocated from the 200 day moving by the most since 2010?

    The gold/copper ratio has crashed to levels last seen a year ago, before we had pandemics and vaccines...

    Do you buy extremely oversold gold trading slightly below the 200 day moving average, or do you chase copper here...
    Source: Refinitiv
    Do you buy extremely oversold gold trading slightly below the 200 day moving average, or do you chase copper here...
    Source: Refinitiv
    Do you buy extremely oversold gold trading slightly below the 200 day moving average, or do you chase copper here...
    Source: Refinitiv
    Year-end melt-up on halt

    Is the (very consensus) year-end melt-up thesis running into some resistance? We are of course at the upper end of the range in S&P500 and now we are running into if not somewhat of a "supply tsunami" at least something that might act as a dampener on the rally. First, the estimates for month-end equity selling is now in the $30-40bn range, which is a lot from historical standards*. Second, ECM is really spiking - expect next 2 weeks to see a lot of follow-ons. Third, S&P500 dealers are long gamma which will create more supply to sell into eventual strength if we try to break-out. Maybe not enough to get outright bearish, but potentially at least enough to halt the rally and let the market digest for a while.

    * GS has $36bn - the 4th largest monthly sell estimate on record going back to 2000 and ranks in the 96th percentile amongst all buy and sell estimates in absolute $ value

    First chart shows SPX right up in the range highs.

    Second chart shows SPX gamma "healthy" slightly higher.

    Year-end melt-up on halt
    Source: Refinitiv
    Year-end melt-up on halt
    Source: Spotgamma
    Negative yield + average policy rate in one chart

    Negative yield + average policy rate in one chart

    Negative yield + average policy rate in one chart
    Source: JPM
    The Value rally now registers

    The Value rally now registers on a "valuation" chart vs Growth....

    The Value rally now registers
    Source: Goldman
    The winner takes it all - the comeback of Europe

    It has been all about chasing global laggards lately. Hated Europe has crushed pretty much everything this month. Top performers from the top, Greece, Spain, Austria, Italy, FEZ (Eurostoxx ETF) and the laggard SPY, only up 11.4%...

    The question is does this mean revert soon?

    The winner takes it all - the comeback of Europe
    Source: Refinitiv
    SPX long gamma "frustration"

    SPX has come up to the "sticky" gamma land. Lot of long gamma among dealers here, and not much realized volatility, at least not for SPX. First chart shows how "sticky" this area is and any attempt to move will be met with dealers hedging deltas, market up they sell, market down they need to buy...

    Second chart showing 1 month realized vs implied vols. Realized 1 month still with a "lag" as the most recent boring period is not recording, while implied have reached new lows.

    Let's see what happens, but long dealer gamma frustration and markets not moving is like Chinese water torture as the book bleeds theta every day.

    Given the vol implosion, there should be "motivated" dealers that must puke vols cheap next week...which is setting up as an interesting long vol play for upcoming events, super spreader incubation period, Fed meeting in Dec, Dec quarterly derivatives expiry and later in Jan the early Jan vote...

    SPX long gamma "frustration"
    Source: Spotgamma
    SPX long gamma "frustration"
    Source: Refinitiv
    HFs have now been reducing gross for ~2 straight weeks

    1. In the US, HFs have now been reducing gross for ~2 straight weeks

    2. most of the reductions on the long and short side since last Friday coming from Equity L/S and Stat Arb / Quant funds.

    3. Even with the recent de-grossing Nets globally remain very elevated – US 59% (95th%tile TTM, 93rd%tile since 2010), EU 52% (100th%tile TTM, 97th%tile since 2010) and Asia 67% (95th%tile TTM, 98th%tile since 2010).

    4. Gross leverage for the respective regions are – US 199% (98th%tile TTM, 100th%tile since 2010), EU 195% (45th%tile TTM, 71%tile since 2010) and Asia 142% (59th%tile TTM, 80th%tile since 2010).

    Morgan Stanley Prime Brokerage
    HFs have now been reducing gross for ~2 straight weeks
    Bitcoin - do you catch it here at 21 day moving average...or do you short it here...

    ...and catch it at 50 day moving average down sub 15k?

    One thing is sure, a lot of scared new longs are watching this closely all weekend.

    Bitcoin - do you catch it here at 21 day moving average...or do you short it here...
    Source: Refinitiv
    The global fiscal policy headwind of 2021...

    Global fiscal policy turns from 4% thrust in 2020 to -1.5% drag in 2021. Annual fiscal thrust for US, Euro area, China and globally. 2021 is JPM estimate.

    The global fiscal policy headwind of 2021...
    Source: JPM Cross-Asset
    1000 DOW points - it has gone faster..

    Even though it "mathematically" should have been the "easiest" 1000 DOW points, it was the second "hardest" (ie longest) of the last 11 of DOW 1000 point jumps (319 days)

    1000 DOW points - it has gone faster..
    Source: Bilello
    Europe: high-frequency trackers show stabilisation of momentum in late November

    The tighter lockdown measures that have been adopted across Europe in order to contain the ongoing second wave of COVID-19 have resulted in renewed declines in most high-frequency metrics. Most indicators, however, declined to levels well above the lows seen during Europe's first wave of COVID-19, and have largely remained stable since mid-November.

    Europe: high-frequency trackers show stabilisation of momentum in late November
    Source: Goldman
    Smart rich people do not like low-yielding debt

    Debt allocation for High Net Worth clients at Bank of America keep on coming down. Rich people like tech stocks that go up more than 1% bonds.....

    Smart rich people do not like low-yielding debt
    Source: BoAM
    Los Angeles issues temporary stay-at-home order effective Monday

    Here comes the USlock-downs

    The Los Angeles County Department of Public Health announced new COVID-19 measures that will be in effect from Monday, November 30 to Sunday, December 20. New measures include banning all public and private gatherings with people outside of a single household and reducing the maximum occupancy for businesses. The order comes a day after the county recorded a record high for new COVID-19 cases and the highest number of deaths in months.

    LA Times
    Gamma fragility

    Nothing really new to TME readers, but the below paper is worth a read, and not only for the options nerd.

    On gamma, liquidity, gamma holes, risk, flash crashes and much more.

    Full paperhere.

    Gamma fragility
    Bond volatility needs more help from Fed's BS

    MOVE is down big since Fed started expanding in March. The most recent pre elections hiccup in MOVE index has reverted back lower as all global vols have crashed, but one of the biggest vol "equalizers", Fed's balance sheet, has to break out higher if you want to see lower vols.

    Our most recent logic is that basically cross asset vols have come down to attractive levels to start using for long volatility plays, be it hedges, replacement positioning or pure speculation.

    Bond volatility needs more help from Fed's BS
    Source: Refinitiv
    Fed's BS refuses to take off

    Looks like Fed's balance sheet took a long weekend as well. Freshly updated (no update yday) it is down compared to last week.

    Fed's BS refuses to take off
    Source: Refinitiv
    Rates keep moving lower post the vaccine news...and NASDAQ loves it

    Tech is the biggest rates play of them all. Rotation and value, but tech-s sensitivity to rates is huge. Nobody has missed the relative bull in tech as part of the big rates moves lower. It is interesting to see everybody has been busy chasing rotation, but not NASDAQ lately...as rates have continued to fade.

    As SAXO bank pointed out recently:

    ""Microsoft will lose or gain 544 bn. $ of market value on 100 bps move!"

    Go figure....

    NDX vs US 10 year.

    Rates keep moving lower post the vaccine news...and NASDAQ loves it
    Source: Refinitiv
    USD - is this the break down?

    Not the most liquid day, but the DXY has not closed here since Q2 2018. Despite all the narratives, the DXY has actually been stuck in a range since July/August. If this is the break down, things could get rather fluid, especially given the time of the year and overall volumes.

    USD - is this the break down?
    Source: Refinitiv
    Oil and EURUSD love

    Oil and the EUR move in tandem over long and short term periods. Both closed at post vaccine news highs...

    Oil and EURUSD love
    Source: Refinitiv
    "Structural" bid in oil volatility

    Rotation, reflation, value chasing, but oil volatility has remained relatively well bid despite the recent bullish bonanza. Sure, OPEC coming up, but oil got properly "stirred" earlier this year, and that changed a lot of the "underlying" dynamics when it comes to oil as an asset.

    "Structural" bid in oil volatility
    Source: Refinitiv
    Greed - one more point

    Extreme greed goes from 91 to 92. Another 8 points and we can't get more greedy. We tried slightly higher numbers at the end of last year...

    Greed - one more point
    Source: CNN
    Emerging markets thankful for the dollar implosion

    Another new recent highs for the EM ETF, EEM, as DXY trades at new recent lows.

    EEM vs DXY inverted.

    Emerging markets thankful for the dollar implosion
    Source: Refinitiv
    Regional malls pretty well-shorted

    REIT Industry Short Interest

    Regional malls pretty well-shorted
    Source: Refinitiv
    NASDAQ - working the break out as vols stay bid "down here"

    We are not experiencing (yet) the August melt up in NASDAQ accompanied with surging volatility, VXN. Our latest logic of NASDAQ making a come back is in the works, but worth noting is that VXN has stopped drifting lower, and was actually up on the day.

    Main point is, vols have got ahead of themselves during the recent vol collapse. If you want relatively cheap options they look cheap enough...

    NASDAQ - working the break out as vols stay bid "down here"
    Source: Refinitiv