Tuesday, 09 March, 2021
Bit of a mixed story out there, few things standing out though:
Bit of a mixed story out there, few things standing out though:
– Equities likely remain weak as dealer gamma exposure (GEX) remains less supportive and there are still signs of distribution (DIX) even as price is falling (https://squeezemetrics.com/monitor/dix?). E-Mini S&P futures market depth {NFCIAEQU Index GP <GO>} also suggests VIX still has a bias higher. These factors put a downward bias on indices, especially with a lot already in the price, leaving little room for upside surprises to attract spec flows
– Tightening US Financial conditions {GSUSFCI Index GP <GO>} and a stronger dollar {USTWEME Index GP <GO>} are weighing on {EM MRIEM Index GP <GO>} showing up with JPM USD EM Bond ETF EMB US Equity GP <GO> breaking support
– Momentum in commodities is starting to fade with Iron Ore IOE2 COMB Comdtys1175.0-35.0(-2.89%) gaining all the attention today
– {USDCNH USDCNH BGN Curncy GP <GO>} and ChiNext {SZ399006 Index GIP30 <GO>} have been setting the direction for risk. ChiNext remains weak but USDCNH is holding under the 100d moving average while the Chinese 5y yield GCNY5YR Index GP <GO> has been flat while risk deteriorated over the last few weeks suggesting inherent strength in the reflation narrative
– This view is also supported by banks {CA1 Index GIP30 <GO>} outperforming while markets bringing forward expectations of rate hikes{FFZ4 COMB Comdty GP <GO>}. This move looks a touch overdone and as pricing of hikes reach their reasonable upper bound it should help vol subside from here
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