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Finanshuse: Bears Giving up?

Morten W. Langer

fredag 29. juli 2022 kl. 9:30

2nd Largest de-rating in ~30 years
Let’s not forget how much we de-rated ahead of the latest squeeze…..S&P 500 has seen the second sharpest P/E de-rating of 6.7x (vs. average of 4.5x compression seen during prior recessions).
JPM
SPX – levels to watch
SPX is up 420 points from June lows. Bear market rally or something else in the making we leave to you to decide, but 4100 is the first resistance to watch, and then the 4150. Note the 100 day coming in around the 4125 level. One of the problems for bears here is the fact very few are long…or at least not long enough (more here).
Refinitiv
Bears giving up?
Latest AAII sentiment reading shows bears have dropped big recently. Note most votes are pre the latest Fed rally. Bulls remain at relatively low levels, but that could easily change should this squeeze continue.
Refinitiv
Systematically not long
The computer and model driven crowd has experienced huge agony and p/l pain during this latest market squeeze. They have all been running extremely light equity longs. Good luck to those that have had to chase longs in this poor liquidity environment. Mission impossible…
DB
DB
Under the hood zzztress
The VIX 2/8 months futures spread continues coming down. Let’s see how things develop from here, but there is very little stress showing at the moment.
Refinitiv
Oil isn’t pricing a recession according to JPM
The investment bank writes that oil isn’t pricing a recessions, but that risk is growing: “…while historical evidence suggests that demand is well supported as long as global growth remains positive, oil price tends to fall in all recessions by 30 to 40%. Under a 1.5% global growth scenario, global oil demand will grow by 0.6 mbd in 2023, 0.6 mbd below our current forecast. This would result in a 1.4 mbd surplus in 2023 with stocks normalizing back to 2015- 2019 average levels by the end of 2023.” Their base case remains intact: “global oil price in the low-$100s in 2H22 and high-$90s in 2023.”

Chart shows oil vs US 10 year breakevens.

Refinitiv
Oil – then vs now
Gasoline demand does go up during the driving season…
MPAS
Oil ain’t buying it
Oil is not “buying” the latest move in SPX.
Refinitiv
Retail Army: back with a vengeance
Retail traders net bought $4.3B of cash equities this past week, 0.8 standard deviations above 1Y average. This is the first time weekly retail net buying exceeded annual average since early April. At the single stock level, retail traders were net buyers of Technology (+1.4z) and Growth (+1.5z). In options space, retail traders net bought $688MM of delta.
JPM Retail Radar
Bitcoin – still lagging tech
NASDAQ is basically back to the pre mid June sell off levels. BTC on the other hand is way lower. The correlation perfection between these two assets is less perfect these days, but imagine BTC starts closing some of the wide gap. One way to play a possible catch up trade is via call spreads as your max loss is known. Vols have come down lately, and despite not being dirt cheap, call spreads aren’t overly expensive as skew has picked up. Second chart shows the 1 month implied vs realized vols. Third chart shows the 1 mth 25 delta skew.
Refinitiv
Genesisvolatility
Genesisvolatility

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