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      Do not buy protection when you must, buy it when you can...

      ...but people tend to do the inverse. On October 29 we once again reminded of spiking vols with "wrong" narratives, we wrote;

      "Nothing new, but people tend to buy protection rather late..."

      Since then we have seen an epic crash of risk premium. Equity and credit protection have both collapsed. We are approaching interesting levels to start using relatively cheap "optionality".

      Do not buy protection when you must, buy it when you can...
      Source: Refinitiv
      US Fundamental L/S hedge fund leverage

      Gross leverage rose +1.4 pts to 213.3% (98th percentile, 3-year).

      Net leverage rose +0.4 pts to 52.2% (45th percentile, 3-year).

      US Fundamental L/S hedge fund leverage
      Source: GS PB
      CTAs sold a little

      CTAs exposure to equities off a little over the past 2 weeks.

      CTAs sold a little
      Source: Deutsche Bank
      BMI around 25

      Overall equity positioning is only modestly overweight (66th percentile).

      BMI around 25
      Source: Deutsche Bank
      Both back above 90

      Global hedge fund net and gross back above 90th percentile on a 1-year look-back.

      Both back above 90
      Source: JPM PI
      Adding risk

      HFs adding to gross in the US: 4wk gross flows at highest since mid-year.

      Adding risk
      Source: JPM PI
      Stock market positioning is bullish, but not extreme

      All caught up: Asset manager S&P futures position and S&P vs. 200D MA (chart 1).

      All caught up too: Equity CTA signal and MSCI world (chart 2).

      Stock market positioning is bullish, but not extreme
      Source: Macrobond
      Stock market positioning is bullish, but not extreme
      Source: Macrobond