Finanshuse: Tech og halvleder boble kan stå lige foran implodering

Danske resume af analyse fra Nomura og Goldman:

Analysen beskriver en mulig vending i det amerikanske aktiemarked, især i Nasdaq 100, tech, halvledere og AI-relaterede aktier, efter en meget kraftig optur.

Nasdaq 100 falder mere end 1% efter dagen før at have haft en meget høj 14-dages RSI på omkring 82. Ifølge BTIG’s Jonathan Krinsky er denne kombination kun set ti gange de seneste 30 år. Historikken er blandet: Efter finanskrisen har lignende signaler ofte været bearish og efterfulgt af markante fald, mens signalerne i perioden 1998-2000 oftere var bullish — dog med en vigtig undtagelse i juli 1998, hvor markedet faldt kraftigt.

BTIG vurderer, at markedet kan stå foran en “equal and opposite reaction” efter den paraboliske stigning i tech, semiconductors og AI. Strategen peger på, at SOXX, halvleder-ETF’en, mindst kan teste sit 50-dages glidende gennemsnit, hvilket vil indebære et fald på cirka 20% fra det aktuelle niveau.

Et andet advarselstegn er et voldsomt “momentum whiplash”: Goldman Sachs’ High-Beta Momentum-kurv steg 5,4% den ene dag og faldt mere end 5% dagen efter. Ifølge Krinsky er et sådant mønster ekstremt sjældent og er historisk kun set efter store kursfald — ikke fra nye topniveauer. Derfor tolkes det som et negativt vendepunkt for momentumaktier.

Analysen fremhæver også, at et muligt “unwind” i højmomentumaktier ikke nødvendigvis bliver opvejet af en bred rotation ind i lavmomentumaktier. Lavmomentumsegmentet holder sig nogenlunde fladt, men der ses ikke en bred rallybevægelse uden for enkelte defensive områder som medicinsk udstyr og pharma.

Forbrugersektoren viser fortsat svaghed. XRT, en detailhandels-ETF, faldt både dagen før og på dagen, presset af højere renter og energipriser.

Goldman Sachs peger samtidig på, at risikovillighed og investorstemning er blevet meget strakt. Bankens Risk Appetite Indicator er på det højeste niveau i over fem år, og sentimentindikatoren ligger i “stretched” territorium for tredje uge i træk. Optionsmarkedet viser desuden, at investorer i høj grad jagter yderligere upside frem for at købe beskyttelse mod fald.

Et særligt faresignal er, at sammenhængen mellem Nasdaq 100 og volatilitet er brudt ned: Spotmarkedet og upside-volatilitet er steget samtidigt, hvilket historisk ofte har været forbundet med kortsigtede tilbageslag. Samtidig er put/call-skew meget flad, hvilket viser, at call-volatilitet handles næsten på niveau med put-volatilitet — endnu et tegn på aggressiv jagt på upside.

Analyserne argumenterer for, at markedet ser overophedet ud efter en ekstrem optur i tech, semiconductors og AI. Historiske signaler er ikke entydige, men flere indikatorer — høj RSI, momentum-whiplash, lav efterspørgsel efter hedges, strakt sentiment og usædvanlig optionsadfærd — peger på øget risiko for en kortsigtet og potentielt kraftig korrektion. Goldman anbefaler derfor, at investorer overvejer hedging, blandt andet via puts eller put-spreads på indeks og halvlederaktier.

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Uddrag fra Nomura:

Just after lunch on the East coast, the Nasdaq 100 is down more than 1%, a day after posting a 14-day RSI of 82, a setup which according to BTIG’s Jonathan Krinsky has only occurred ten times in the last 30 years, with some speculating that this is just the beginning of the violent reversal discussed last night by Nomura’s Charlie McElligott.

Outcomes are mixed: post-GFC instances skewed bearish with meaningful drawdowns, while 1998–2000 episodes were mostly bullish with limited downside (except July ’98 which saw -28%). Despite the split historical analogs, BTIG’s base case is for an “equal and opposite” reaction to the recent parabolic tech/semis/AI advance, with SOXX at least testing its 50-day moving average (~20% lower from current levels).

Separately, as we noted earlier, the Goldman High-Beta Momentum basket surged 5.4% yesterday and is down more than 5% today…

… which according to Krinsky is an extremely rare “whiplash” pattern that previously appeared only after major declines. “This has never occurred off a new high, and to us is the inverse of a major low, suggesting a negative inflection for momentum.”

Some more observations from the BTIG strategist:

• Momentum Whiplash. The High-Beta Momentum Long Index (GSCBHMOM) gained 5.4% yesterday, and is currently down more than 5% today. Since 1999, the only other times we have seen a 5%+ day immediately followed by a -5% down day were: 4/10/25, twice in March 2020, 11/14/08, and 1/4/2001. Those were all following major declines, so the complete opposite of today. We think this ‘whiplash’ off a new high indicates a negative inflection for momentum.

• Unwind, or Everything Lower? As we discussed yesterday the bullish scenario if high-momentum falls would be for low-momentum to rally. Yet we said: “While that is always possible in an unwind, many of these names are breaking lower, but far from oversold territory. In other words, early stage distribution.”
• The low-momentum factor is roughly flat today, but outside of a few select areas like medical equipment and pharma, we aren’t seeing a broad-based rally in low-mo.
• NDX -1% Day Off 80+ RSI. NDX -1% or worse immediately following yesterday when its 14-day RSI was 82. Last 30 years when NDX has an RSI above 80, immediately followed by a -1% or worse day, we find ten priors. Half of those came in the post-GFC era, and we would consider four of those five bearish with meaningful drawdown vs. minimal upside.

• Conversely, the other five all came in the 1998-2000 period, and four of those five were actually bullish with only the July ’98 seeing meaningful downside vs. minimal upside.

• Something for everyone as bulls and bears will see what they want to see. Our view remains that we will see an equal and opposite reaction to the parabolic advance we have seen in tech/semis/AI over the last few weeks. That means something like SOXX can see a test of its 50 DMA at a minimum, which would mean another ~20% lower from current levels.

• Consumer Still Struggling. XRT was -3.6% yesterday and -1.5% today as higher rates and energy prices continue to be a headwind.

• Nobody Wants Hedges. Coming into today 20-day put/call ratios were about as low as they have been in the last 5 years. Upside call buying has far outweighed downside hedging.

Meanwhile, as Goldman’s Cullen Morgan writes, risk appetite and sentiment have rebounded dramatically, positioning is higher, the vol market suggests investors are aggressively chasing upside, and spot is starting to screen stretched. The GS Risk Appetite Indicator – which aims to track the level of global market risk appetite and risk aversion based on various market variables – is now at its highest level in over five years, and one of the highest readings on record.

Goldman’s Sentiment Indicator, which tracks investor positioning across the more than 80% of the US equity market that is owned by institutional, retail and foreign investors, is in “stretched” territory for the third consecutive week

In the vol market, the correlation between NDX spot and vol has completely broken down. Over the last 20 sessions, NDX spot and 1m upside vol have been positively correlated. Historically, this has signaled a short-term pull back (see raw data of NDX forward returns after positive correlation readings below).

This dynamic has been even more prevalent in the most recent leg of this move. We have seen NDX spot and vol move in tandem every session for the last five sessions… that’s tied for the longest streak on record (only other dates ==> 23Aug’01 and 27Jul’09).

The chase in upside can be seen in skew as well. Put-call skew of the average single stock within Nasdaq is near its flattest levels on record (i.e. call vol is trading almost flat to put vol).

Given the narrow breadth of the move, some of the classic index-level indicators do not appear overly extended; however, below are two metrics that do:

i) Entering today’s session, NDX was trading over 15% above its 100dma.

ii) Nasdaq 14d RSI coming into today was nearly 83, one of the highest readings on record.

In conclusion, the Goldman trader cautions that “we haven’t seen overwhelming demand for hedges on the way up. At the single stock level, taking advantage of flat skew to write collars on positions looks compelling. At the index level, implied vol is low enough where we like owning it outright, particularly in SPY (June puts look good). For a more concentrated hedge, we think wingy SMH put spreads are attractive.”

In other words, precisely what McElligott said without some of the more dire implications of his forecast