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    0 + $5tn + $16tn = >3000

    Out of all strategists, Harnett remains king of explaining complex stuff in an easy way. Above was published in early May and so far spot on....

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    Major EM volatility indexes all taking out new recent lows today

    EM, China, Brazil "VIX" all puking as chase the laggards narrative continues.

    Major EM volatility indexes all taking out new recent lows today
    Thomson Reuters

    Juicy MOC to buy, over $3 bn

    Who cares about bonds (3)? We have not had exploding volatility in bonds and VIX not reacting (at times with a lag)

    TYVIX versus VIX.

    Who cares about bonds (3)? We have not had exploding volatility in bonds and VIX not reacting (at times with a lag)
    Thomson Reuters

    QQQ - show me the volumes

    This is max pain, melt up on diminishing volumes where everybody is waiting for the dip to buy...

    Note the little doji candle so far today.

    QQQ - show me the volumes
    Thomson Reuters

    THE divergence

    With increasing volumes...

    THE divergence
    Predictit

    That Rio penthouse 13% more expensive over past 2 weeks

    Should have bought...

    BRL breaking big levels, again...
    That Rio penthouse 13% more expensive over past 2 weeks
    Thomson Reuters

    Inflation narrative still driver of equities - US edition

    US 5 yr breakevens vs Spuz.

    Inflation narrative still driver of equities - US edition
    Thomson Reuters

    Inflation narrative still driver of equities - European edition

    EU 5 yr breakevens vs SX5E futs.

    Inflation narrative still driver of equities - European edition
    Thomson Reuters

    ...at least we have some inflation expectations going...in Europe actually surging...

    ...at least we have some inflation expectations going...in Europe actually surging...
    Thomson Reuters

    SPY volumes - will they ever rise again?

    Let's see how volumes finish today, but shitty liquidity and low volumes is not great should markets decide moving a bit more again....

    SPY volumes  - will they ever rise again?
    Thomson Reuters

    JPY volatility - just catching up to VIX or trying to tell something?

    Huge move in the JPY today.

    JPY volatility  -  just catching up to VIX or trying to tell something?
    Thomson Reuters

    We have not seen this much greed in a while, but is it enough?

    We have not seen this much greed in a while, but is it enough?
    CNN

    Don't let riot news blur the picture of where markets are going - internet ETF, FDN, putting in a rather big down candle today

    Pay attention to that very steep trend line. This is the number one sector that took us here, not any obscure EM equity play or Sopurthers European dog that decided to outperform as people must chase laggards.

    Don't let riot news blur the picture of where markets are going - internet ETF, FDN, putting in a rather big down candle today
    Thomson Reuters

    Divvie cancellations by sector in Europe

    Divvie cancellations by sector in Europe
    JPM

    Could riots become USA's super spreader event just like UK's Cheltenham Festival

    The definition of riots is all but social distancing.

    Within 2 weeks we should be seeing if the US riots were a super spreader event or not. Should new cases not spike, maybe we are looking at the final blow out in equities. Should we get a huge spike in new cases, then riots are possibly contributing to an "extra" second wave of Corona and all the consequences that are to follow. Either way, possible sharp moves will benefit the long "optionality" (gamma) crowd.

    Given the recent equity melt up and the fact risk premium in terms of volatility has collapsed, our logic is to start looking at long premium strategies here.

    Below chart shows what happened in UK post the

    Cheltenham event, new cases exploded post the event. Sure it could have happened anyway, but events we are witnessing in the US could potentially lead to the biggest global super spreader event post the Corona outbreak.

    VIX is not dirt cheap, but worth a bet should riots prove to be super spreader events...

    Click charts to toggle.

    Could riots become USA's super spreader event just like UK's Cheltenham Festival
    Thomson Reuters
    Could riots become USA's super spreader event just like UK's Cheltenham Festival
    Thomson Reuters

    here comes the 25% GDP growth

    Goldman spins the MoMo bull story for equities:

    1. Given the low starting level for economic activity, the short-term sequential gains could be substantial: our economists forecast payroll gains of almost four million per month in Q3, and annualized US GDP growth of about 25%.

    2. We still think our forecast for the US growth path is not fully reflected in markets. Our US economic forecast still implies (modest) upside to the S&P 500.

    3. Using the same method to link consensus growth revisions instead to our US growth factor also suggests that there is still upside risk to cyclical views if we track along the path we expect.

    4. GS Credit team argues that the market may also focus more on changes than levels of activity in the first instance.

    Goldman

    Pump and dump in Bitcoin continues

    As we suggested several weeks ago;

    Bitcoin looks like "somebody" controls how it trades lately. .."Ignite a rally, get FOMO going, short it, slam it down, cover and go long and repeat the procedure again..."

    The strategy continues to work...

    Pump and dump in Bitcoin continues
    Thomson Reuters

    JPY move - probably (hopefully) nothing, but always pay attention when big FX make big moves...

    ...last time the JPY made a similar "sudden" move was in late February. The long protection instinct is starting to get more alive by the day.

    JPY move - probably (hopefully) nothing, but always pay attention when big FX make big moves...
    Thomson Reuters

    Laggards becoming leaders...

    No, we did not think Brazil, EWZ, would surge by 35% in 13 sessions when we suggested EWZ was a contrarian buy in mid May.

    One of the most hated equity ETFs globally has become a "must have" asset. Impressive...

    Laggards becoming leaders...
    Thomson Reuters

    Emerging markets less risky than NASDAQ

    At least that is what VXEEM is saying relative to VXN, but maybe this is the new normal....

    Emerging markets less risky than NASDAQ
    Thomson Reuters

    JPY move now rather huge on the day, last at 108.57

    EM on fire

    The EEM break out we highlighted continues to perform well as people must chase laggards in order to show performance.

    EM on fire
    Thomson Reuters

    Puts for wimps only?

    Put call ratio collapsing again. It would be "too perfect" if this reversed right now...

    Puts for wimps only?
    Tradingview

    People still laugh at Robin Hood traders, but most wish they had DKNG as their top 1 weekly longs

    Robin Hood surfing the George Soros DKNG trade nicely...

    People still laugh at Robin Hood traders, but most wish they had DKNG as their top 1 weekly longs
    Robintrack

    Look like that US elections volatility kink will be even more present

    VIX term structure.

    Look like that US elections volatility kink will be even more present
    vixcentral

      Major EM volatility indexes all taking out new recent lows today

      EM, China, Brazil "VIX" all puking as chase the laggards narrative continues.

      Major EM volatility indexes all taking out new recent lows today
      Thomson Reuters

      Could riots become USA's super spreader event just like UK's Cheltenham Festival

      The definition of riots is all but social distancing.

      Within 2 weeks we should be seeing if the US riots were a super spreader event or not. Should new cases not spike, maybe we are looking at the final blow out in equities. Should we get a huge spike in new cases, then riots are possibly contributing to an "extra" second wave of Corona and all the consequences that are to follow. Either way, possible sharp moves will benefit the long "optionality" (gamma) crowd.

      Given the recent equity melt up and the fact risk premium in terms of volatility has collapsed, our logic is to start looking at long premium strategies here.

      Below chart shows what happened in UK post the

      Cheltenham event, new cases exploded post the event. Sure it could have happened anyway, but events we are witnessing in the US could potentially lead to the biggest global super spreader event post the Corona outbreak.

      VIX is not dirt cheap, but worth a bet should riots prove to be super spreader events...

      Click charts to toggle.

      Could riots become USA's super spreader event just like UK's Cheltenham Festival
      Thomson Reuters
      Could riots become USA's super spreader event just like UK's Cheltenham Festival
      Thomson Reuters

      Laggards becoming leaders...

      No, we did not think Brazil, EWZ, would surge by 35% in 13 sessions when we suggested EWZ was a contrarian buy in mid May.

      One of the most hated equity ETFs globally has become a "must have" asset. Impressive...

      Laggards becoming leaders...
      Thomson Reuters

      People still laugh at Robin Hood traders, but most wish they had DKNG as their top 1 weekly longs

      Robin Hood surfing the George Soros DKNG trade nicely...

      People still laugh at Robin Hood traders, but most wish they had DKNG as their top 1 weekly longs
      Robintrack

      Oil - a little more than a month ago they "paid you" $36 to take their oil, today they "pay you" $36 to take out the trend line

      A round trip of more than $70...

      Oil - a little more than a month ago they "paid you" $36 to take their oil, today they "pay you" $36 to take out the trend line
      Thomson Reuters

      Economy vs economy - copper vs US 10 year JAWS getting wide

      but which one is the economy?

      Economy vs economy - copper vs US 10 year JAWS getting wide
      Thomson Reuters

      Picking up laggards narrative continues - European (zombie) banks have not closed here since late March

      +20% in 2 weeks and pushing the upper part of the range. We have no huge view on the sector here, but a possible close above these resistance levels will manage sucking in more laggard chasers as this is becoming a strong "strategy".

      Below the great long call by Autonoumous we highlighter on May 20:

      1. the sector’s Q1 results were relatively resilient

      2. some tail risks have been removed

      3. look ahead to the next quarter’s catalysts shows more positives than negatives

      4. more gloom is priced in for the banks than other sectors

      5. can the slightest small catalyst lead to a massive catch-up rally?

      Picking up laggards narrative continues - European (zombie) banks have not closed here since late March
      Thomson Reuters

      Feeling when talking to most PMs at the moment - "If I just buy this laggard, it catches up big time, I will look OK compared to the "good" stuff I missed buying"

      They are chasing stuff they hated only a few weeks ago. Spanish IBEX is one of those hated assets becoming loved over past sessions.

      (Greek ETF, GREK, is another one far out on the risk curve...)

      Feeling when talking to most PMs at the moment - "If I just buy this laggard, it catches up big time, I will look OK compared to the "good" stuff I missed buying"
      Thomson Reuters

      Amazon makes another record

      Bond yesterday had a rate at 0.45%, last bond in 2017 they paid 1.9% when they took over Whole Foods Market and recall Amazon debt in 2009 was considered junk

      Amazon makes another record
      Thomson Reuters

      Chasing laggards - Emerging markets, EEM, takes out new recent highs, pushes above the negative trend line

      Fits well with the time frame of picking up stuff that has lagged, sentiment entering more greed etc.

      Chasing laggards - Emerging markets, EEM, takes out new recent highs, pushes above the negative trend line
      Thomson Reuters

      Number one "sentimentor" - internet ETF, FDN, +56% from March lows...

      ..and looks to be putting in another ATH close.

      Number one "sentimentor"  - internet ETF, FDN, +56% from March lows...
      Thomson Reuters

      TLT - so many bulls but unless you bought it during those crazy sessions in mid March, you are down

      Make or break levels approaching.

      TLT - so many bulls but unless you bought it during those crazy sessions in mid March, you are down
      Thomson Reuters

      This is just 2009 with a twist

      Time to update our "seasonality" chart. Many have been pointing out the GFC crash narrative, but few point out just how similar this trades to 2009...

      Time for a pause soon?

      This is just 2009 with a twist
      Thomson Reuters

      S&P - "smooth" sailing unless we "perforate" the gamma flip level at 2942

      Nomura's quant, Charlie, once again delivering a rather "complex" interpretation of markets (CTAs continue to be big buyers of equities) , but the chart below is according to us the most important to watch.

      Dealers possibly turning to short gamma some 90 handles lower.

      S&P - "smooth" sailing unless we "perforate" the gamma flip level at 2942
      Nomura

      On that tactical cyclical rally call

      We mentioned the great tactical rally in cyclicals vs value style call by JPM two weeks ago.

      The moves post the call have been strong. JPM writes today that despite there is "some more" for the rotation trade to go, they see it "peter out" as we enter summer.

      Positioning has turned net long, short interest down, VIX more calm and equity betas up. Do not fight the Fed fear is no stronger than the cautious tone we had only a few weeks ago.

      JPM writes;

      "The current beta rotation is helping the overall market through increased breath, but once it

      starts to slow, the market is likely to become constrained."

      Positioning: getting closer to stretched & interesting

      1. GS prime brokerage data from Friday showed that net leverage now is at the highest level in more than 2 years.

      2. Gross leverage rose to 249.6% (99th percentile).

      3. add to this CITI Euphoria data, various recent sentiment indicators as well as RobinHood anecdotal behavior and is it starting to get interesting

      Might(y) Europe - chasing laggards

      Recently they have been chasing the biggest casualties of Corona in Europe. Spain, one of the hardest hit by Corona and a huge tourist economy is in real pain, but IBEX has been soaring recently. People often tend to point out the ordinary chart, but when you look at it in USD terms you truly understand what has been going on in Europe. IBEX is + almost 13% in 7 sessions. So much for Spain in pain...

      Might(y) Europe - chasing laggards
      Thomson Reuters

      NASDAQ "VIX" once again at practically same levels as VIX

      NASDAQ becoming less risky on a relative basis...justified?

      NASDAQ "VIX" once again at practically same levels as VIX
      Thomson Reuters

      Euphoria

      These sentiment & positioning indicators keep on showing signs of life. Give it a few more weeks and we will be back in shorting territory. Apart from the CITI Euphoria indicator we also last week had:

      1. GS Sentiment Indicator

      2. Equity long/short hedge funds net positioning creeping up

      3. Retail investors....

      Euphoria
      CITI

      China and dumping USTs?

      Not so easy and not an attractive option to China.

      China needs to continue accumulating dollars, needs to park somewhere...if not USTs then USD debt or equity...frees up other money to enter USTs...dumping USTs makes little sense

      Fed and domestic UST buying has led to percentage of US government debt China holds halved since 2011

      China and dumping USTs?
      Mizuho

      The world taking more critical tone on China

      116 countries have backed Australia's push for independent inquiry into virus's start

      Clashes China/India border near Tibet

      EU, US and Japan held consultation on industrial subsidies at the start of the year – they want stricter rules, ostensibly focused on China...discussions in Europe of temporary ban of Chinese takeovers of Eu companies...

      Huawei increasingly targeted - matters for China

      US elections will bring more hawkish rhetoric..need a scapegoat

      Huawei matters for China
      The world taking more critical tone on China
      Mizuho

      In tech we (must) trust

      Rather self explanatory charts, and tech PEs remain way lower compared to the IT bubble.

      Click the arrows on the chart to toggle.

      In tech we (must) trust
      Soc Gen
      In tech we (must) trust
      Soc Gen

      "Sentimentors" - THE 2 most important drivers of sentiment closed at ATHs today, Fed's balance sheet and internet ETF, FDN

      Keep it simple...

      "Sentimentors" - THE 2 most important drivers of sentiment closed at ATHs today, Fed's balance sheet and internet ETF, FDN
      Thomson Reuters

      Mighty Yuan - strongest day for the Yuan in a long time, implications for gold?

      US/China situation all cool now? Nobody knows, but do consider that gold has partly been a play on the China/US trade war narrative. Weaker Yuan has been accompanied with gold moving higher. Maybe the Yuan reaction today is just a one day "event", but watch your gold long logic if it was a hedge for the US/China story...

      Mighty Yuan - strongest day for the Yuan in a long time, implications for gold?
      Thomson Reuters

      Everything is awesome, but why is VIX futures spread not coming down?

      Frequent readers of TME know one of our favourite "under the hood" indicators is the 2/8 months VIX futures spread. It has come down from panic levels as dealer short gamma blew up in March (this was before everybody was an expert on gamma flips...).

      Noteworthy is that despite the spread trading at elevated levels still, the bid for short term protection continues to be very much alive and the spread has actually risen recently.

      Watch this for "real stress" indications.

      Everything is awesome, but why is VIX futures spread not coming down?
      Thomson Reuters