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      There will be significant equity selling into month-end

      S&P 500 futures have o/p 10Y UST futures by c.9% - which we’ve only seen at this point in the month 6 other times since 2000 (and never since Dec 2010). In those 6 instances, Equities underperformed Treasuries over the 5 trading days into month end. Heading into Nov month end, QDS’ Pension Rebalancing Model suggests c.$50bn of global equity outflows.

      Remember that GS estimates $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.

      And lastly, JPM from Thursday: "We see some vulnerability in equity markets in the near term.from balanced mutual funds, a $7tr universe, having to sell around $160bn of equities globally to revert to their target 60:40 allocation either by the end of November or by the end of December at the latest"

      Chart: maybe rally on halt as S&P once again is back in the "box".

      There will be significant equity selling into month-end
      Source: Refinitiv
      Mighty KWEB

      China tech continues moving higher post that great break out we outlined early last week. Chart 2 shows BABA, a play we pointed out in late August (here). The stock broke above huge resistance levels and momentum is huge. Our general take on China tech (BABA included) is to not forget to roll those call spreads into higher strikes as we move higher.

      Mighty KWEB
      Source: LSEG Workspace
      Mighty KWEB
      Source: LSEG Workspace
      You are here

      VIX seasonality is about to kick in right now...

      You are here
      Source: Equity Clock
      VIX speculators mania

      Slightly simplified way of looking at things as there are many offsetting positions in the volatility world, but still worth taking a look at the great VIX spec short.

      VIX speculators mania
      Source: LSEG Workspace
      The VIX shorty

      Dealers running big VIX call shorts..."VIX total Vega to buy in a +10 shock now at 91% btwn ETNs and Dealer options positioning".

      The VIX shorty
      Source: Nomura
      AI mania - seriously overbought

      AIQ at the most overbought levels since July 2024...just before markets crashed.

      AI mania - seriously overbought
      Source: LSEG Workspace