Stocks Inch Higher As Fearless Vol-Sellers proceed To Push Ahead Of NVDA/FOMC Mins

dailyblitz.de 1 year ago

Zdjęcie: stocks-inch-higher-as-fearless-vol-sellers-continue-to-push-ahead-of-nvda/fomc-mins

It's quiet... besides quiet...

Small Caps lagged on the day but the remainder of the majors strugged to gain any minute as long gamma and low vol compressed the ranges. any early hawkish (though nothing new) remarks from Fed’s Waller (‘...in the absence of a crucial weathering in the laboratory market, I request to see respective more months of good inflation data before I would be comfortable supporting an easier in the state of monetary policy...’) sparked a small risk-off but as shortly as cash markets opened, BTFDers resumed their game – but could not push ahead of unch.

A late lift flatered an otherwise 'meh' day...

As Goldman’s Chris Hussey notes, a highest under the surfing of the S&P 500 reveals a somewhat defensive tilt with Pharma, Staples and Utilities outperforming, and Consumer Discretionary, Semis, Transport and Builders catching the index. Consumer discretionary is partially underperforming, being dragged down by negative reactions to learnings from AZO and LOW.

Source: Bloomberg

Anemic implied vols persist – despite the event hazard catalysts this week – with VIX pushing a 11 trade...

Source: Bloomberg

...and Bond vol besides compressed...

Source: Bloomberg

We note there is any anxiety on the very short-end... but inactive a 13 handle is not precisely 'risk again'...

Source: Bloomberg

The risk, as SpotGamma exploited earlier, in these very low IV’s, are the very low IV’s theirselfs.

If traders are pricing in 30bps of movement for a given trading day, any decision that pushes the marketplace past 30bps (up or down) could lead to a short vol cover and a Jumpy stock move. This suggestions to us that while you possibly can’t find a reason to buy short given SPX options, shorting them at these IV levels seems like a mediocre risk-reward (we’re looking at you 0DTE traders!).

On that note we think that a clearer way here for basic ‘short vol’ trades may be owning puts/short call spreads in VXX/UVXY or long SVXY calls/short put spreads. This is due to the fact that you catch any of the rotation decay, and you don't have the strike-risk in 0DTE.

0DTE vols are utmost low but we would anticipate a jump (as we Saw around last week’s CPI)...

Source: Bloomberg

Treasure yields slipped lower today, erasing the bridge of yesterday's spice higher with the short-end laging (2Y -2bps, 30Y -4bps)...

Source: Bloomberg

The dollar pushed higher again, erasing Friday’s fates...

Source: Bloomberg

Bitcoin slipped back from its overnight surge back up close $72,000 to end fundamentally flat on the day...

Source: Bloomberg

...which follows the sixth day on net inflows to BTC ETFs (and 4 days of inflows in a row to GBTC)...

Source: Bloomberg

Ethereum outperformed one more time as ETH ETF hops continued to build amid an appeared about-face from the Biden admin's anti-crypto army...

Source: Bloomberg

For context, ETH is now at its strongst comparative to BTC since mid-March.

Source: Bloomberg

Gold Chopped around and ended flat today...

Source: Bloomberg

Silver continues to appear gold, now at its strongst comparative to the yellow metallic size Dec 2022...

Source: Bloomberg

Finally, Wholesale gasoline prices fell today after the Biden admin announced a release of its strategical gas reserve (not for political reasons of course)...