"Since August 6, 2020 the yield on the 30 Year US Treasury Bond has been rising at a 200 basis point annual rate. If that continues through August 6, 2021 the Bond’s year-over-year total return will be approximately -35%"
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The October NBS manufacturing PMI came in at 51.4, slightly better than expectations and only marginally lower than the 51.5 reading in September
New cases: 97,080
Positivity rate: 7.1% (+0.4)
In hospital: 46,688 (+593)
In ICU: 9,437 (+229)
New deaths: 933
Working from home during the pandemic, Americans saved 60 million hours in commute time each workday. We spent most of that time —working
Fed and BoE
Usual weekend coronavirus surge (or not)
Restrictions kicking in...how will they affect macro data, final Oct PMIs throughout the week
224 companies between S&P and Stoxx 600 will report earnings
Mighty for several reasons, below just a few...
Frequent readers of TME know we have written extensively on using options to enhance yield, especially for people that "must be long a certain name".
Apple has been one of those. OnSeptember 1, Apple ATH close, we wrote:
"The point is not trying to guess the top in Apple, but from a risk management point of view Apple overwriting strategies make a lot of sense.
Retail armyhas been buying tech calls en masse, leaving dealers short gamma. Since the FAANGs have exploded, short gamma dealers have found themselves in a lot of trouble, chasing deltas higher, and at the same time seeing vols explode making "real hedging" even more expensive.
Dealers tend to be reluctant to buy back higher vols as they have a big belief in their "theoretical" models. Since volatility is mean reverting, dealers tend to sell more and more volatility as "it must revert".
In the meantime, retail army buys more and more options, dealers chase deltas higher and higher etc. Of course, the same works on the way down, but inversely. When the stock goes through the strikes on the way down (if ever) all those chased long deltas must be sold again.
We can write a book about the above "dynamics", but the main point is, Apple vols have exploded due to the above, and anyone that is getting a bit "nervous" about their Apple longs, but must be long, should look at overwriting strategies here."
Big fish vs small fish...
It sure did not "feel" that way...
HYG in chill mode today...
Not talking about equity rallies here but the Trump ones.
Things are not trading well, but there is no real panic in this move lower.
VIX actually closed higher two days ago, but more importantly the VIX 2/8 mths spread has not shot up much higher during this sell off like we have seen it explode during the past "hiccups".
Demand for short term VIX futures is not overly extreme.
The spread is elevated, but there is not the panic bid for vol.
5 year chart of XLF vs XLK in %.
Do not dismiss tech's longer term "duration" risk...
US 30 yr inverted vs QQQ.
Will it break above that big trend line?