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Uddrag fra Market Ear

HF Leverage approaching July 2023 high

Net Leverage among “All Strategies” ticked up (+1.5z increase in the past 4 weeks) and approaching July ’23 high.

Source: JPM PI

Even longer

The big long has become even longer. Chart shows SPX net non dealer positioning.

Source: GS

Something is rotten in Demark

We love Demark and now we are paying attention. The SPX, NDX, CCMP, NYA and INDU enter October with tactical upside exhaustion risk from bearish daily Demark 9s and 13s in late September. Don’t fight challenging Demark signals…

Source: BofA

Source: BofA

Slowing buybacks

The biggest bid is fading quickly….and will be dormant for a few weeks.

Source: UBS

Reminiscence of that August sell-off

Relatively low VIX is not telling the entire story. Goldman’s derivatives guru Garrett shows the GS vol stress index vs VIX. The gap is very wide, basically telling you that “real” stress is much more severe than what a simple VIX view is telling. (The index is a 2 year rolling percentile rank of skew, term structure, spx implieds, and vix implieds). This is more or less exactly what happened ahead of the early August sell-off.

Source: GS

More August similarities: CTAs & gamma

Another great chart via Garrett showing CTA thresholds vs current gamma. A possible downside move could get “messy” as both CTAs and market makers can be forced to sell. Note also here the similarities with early August.

Source: GS

Computers are sellers

CTAs in SPX are basically in sell or sell mode. Biggest risk is the downside over the 1 month where CTAs are sellers of $144bn ($50bn in the US).

Source: GS