Tuesday, 26 January, 2021
Building on yesterday’s rationale for a period of higher volatility and stretched positioning is to put it within the context of dealer S&P gamma “The most common SPX option flows, post-2008, are customers buying OTM puts and selling OTM calls. This creates and sustains a momentum effect, whereby higher prices lead to higher GEX, and higher GEX improves top-of-book (nearby bid-ask) liquidity, and better liquidity means that dips always get bought. This works […] Read More
Tuesday, 26 January, 2021
Asutralia—- Clancy Of The Overflow I had written him a letter which I had, for want of betterKnowledge, sent to where I met him down the Lachlan, years ago,He was shearing when I knew him, so I sent the letter to him,Just `on spec’, addressed as follows, `Clancy, of The Overflow’. And an answer came directed in a writing unexpected,(And I think the same was written with a thumb-nail dipped in tar)‘Twas his shearing mate […] Read More
Monday, 25 January, 2021
Commerzbank was out last Wednesday with a note on the ongoing LIBOR transition. They expect an official cessation announcement could come as soon as next week with ICE’s consultation round on discontinuing Libor set to end on Jan 25th. Such an announcement could either come from the Intercontinental Exchange (ICE), who published Libor or the Financial Conduct Authority (FCA), ICE’s regulator. Recall, the cessation announcement is critical for the calculation of ISDA fallbacks, i.e. substitute […] Read More
Monday, 25 January, 2021
BoA- Libor update This Monday (25 January), will see ISDA’s IBOR Fallbacks Supplement and Protocols formally come into effect, with all new derivatives that reference the definitions adopting the fallbacks. Some have suggested that we may see these fallbacks triggered immediately (or almost immediately) thereafter, fixing Libor-Sonia spread adjustments. Although possible, BoA think this unlikely. The “permanent cessation trigger” event the market is waiting for is the IBA’s determination following the conclusion of its consultation […] Read More
Wednesday, 20 January, 2021
U.K. INSIGHT: 150 Billion Reasons Why the Recovery May Surprise By Dan Hanson (Economist) (Bloomberg Economics) — The U.K.’s economic recovery is on ice because of a resurgence in Covid-19 and measures to tackle it. But it’s not all doom and gloom. The health of household balance sheets should mean the economy rebounds quickly once enough people are vaccinated and restrictions lifted. Together with a faster than anticipated vaccine roll-out, a consumer spending boom is […] Read More
Tuesday, 19 January, 2021
In Brief: • No change in interest rates or QE expected this month • Markets are pricing just 4% chance of a 10bp cut this month and now only a 50% by Dec 2021 • Main focus will be on the press conference and Lagarde. In particular: o Insights of the rate of PEPP bond purchases o EUR currency strength and potential implications on the inflation outlook o Insights on ECB’s definition of ‘favourable financing […] Read More
Tuesday, 19 January, 2021
SENTIMENT: some snippets from Jan BAML FMS: – cash levels at the lowest level since March 2013 – Allocation to stocks is at 2-year-high – allocation to stocks and commodities is at 10-year-high – record overweight in EM – record OW in small vs large cap stocks – Expectations for global EPS, inflation, higher bond yields at or close to record highs – U.K. remains “most unloved region” but the underweight was further reduced to net 15% […] Read More
Friday, 15 January, 2021
JP MORGAN (JPM) #’s due at midday – what to watch: CORE ESTIMATES: – headline 4Q eps est 2.62 on rev $28.6bn. – NII est $13.2bn – NIM est 1.84% – Invt Bank fees est $2.14bn – Equity est $1.86bn – FICC est $4.11bn – Credit Provisions $1.31bn – NPLs $12.69bn trading and cap mkts divisions expected to see continued strength and market is looking for last years loan loss provisions to continue to come […] Read More
Thursday, 14 January, 2021
ArchrTech – Sad day today for the participants of the annual:: ***Archr Tech – Technical Analysis conference – Verbier*** Traditionally held annually in Verbier on Martin Luther King Weekend This years KeyNote speech by me on “Peaks and Troughs” will be binned, I’m assuming no one wants to hear it over ZOOM 😉 Of all the things that CovId-19 has ruined, this might be the hardest to take ArchrTech 2022 … Verbier… Next Stop – […] Read More
Wednesday, 13 January, 2021
Financial bubbles through history as compiled by Man Solutions ——————————————————————————-This message may contain confidential or privileged information. If you are notthe intended recipient, please advise us immediately and delete this message.The unauthorised use, disclosure, distribution and/or copying of this e-mail orany information it contains is prohibited.This information is not, and should not be construed as, a recommendation,solicitation or offer to buy or sell any securities or related financialproducts. This information does not constitute investment advice, does notconstitute a personal recommendation and has been prepared without regard tothe individual financial circumstances, needs or objectives of persons whoreceive it. Read More
