Finanshuse: Ingen har lige nu “kontrol” over retningen på aktiemarkedet

1. remain defensive in our asset allocation into year-end. Remain UW equities for 3m horizon

2. “While sentiment and positioning is somewhat bearish we do not think we are at peak bearishness. Sentiment can stay bearish for a long time during bear market – a combination of extreme bearish sentiment, positioning and valuations provide a stronger bullish signal…”

3. “We think equity drawdown risk remains elevated into next year…..”

The key to a more aggressive squeeze may lie with

1. CTA buying – thought to activate in the 3800 – 3900 range

2. Buybacks – said to accelerate coming out of the earnings blackout window as soon as next week

3. Macro data – this is still a market driven by yields and the Nov 2 Fed meeting and Nov 10 CPI release loom large.

1. Equities are growing increasingly reactive to economic data surprises

2. Short-dated S&P vol has continued to underprice economic data risks

3. Rates tend to worry more than equities about the economic data

4. Rates vol has been better priced for this year’s extreme data volatility

Do we see the MOVE vs VIX gap shrink eventually? Chart shows that being long the 1 day atm straddle into economic events has been rather profitable over the past quarters.