Macro Trader

Get a good rest. 🙏🏻

Bottom-line: 제이피모건이 2018년 2월, 변동성에 반대로 베팅한 상품이 촉발한 시장 충격 상황을 만기가 하루도 남지 않은 옵션들이 재현할 수 있으며, 심할 경우 하루 300억 달러 규모의 매도가 촉발 될 것이라 경고 했으나 뱅크 오브 아메리카는 그럴 것 같지 않다 반박함. S&P 500 옵션 거래의 절반 가까이를 이런 하루도 남지 않은 옵션이 차지하고 있지만, 이 많은 거래 유형이 단순 한 방향이 아니며, 어느 한 거래가 위험에 처해도 충격이 다른 형태로 전이되지 않을 정도로 시장이 균형잡혀 분산 된 상태로 봤기 때문임. 즉, 2018년 2월 2주만에 -10% 지수 하락을 가져 온 것은 모두가 한 방향에 쏠린 상태 때문이지만, 지금은 그렇게까지 일방적 방향에 쏠린 거래가 보이진 않음. A week after JPMorgan Chase & Co.’s Marko Kolanovic issued a “Volmageddon 2.0” warning on the explosive rise in short-dated options, Bank of America Corp. strategists are pushing back. Investor positioning in hot derivative-powered trades — like S&P 500 contracts that expire within 24 hours — looks less threatening to the wider marketplace compared with the mania that led up to the 2018 volatility rout, per BofA. The reality is more nuanced, according to BofA strategists including Nitin Saksena. Given short-term options are used in so many different strategies, if one investing style were to falter, the shock to the broader equity market would likely be manageable. Some are “raising the alarm that directional end-users are net short out-of-the-money 0DTEs, thus sowing the seeds for a ‘tail wags the dog’ event akin to the Feb-18 ‘Volmageddon,’” the strategists wrote in a note. “The evidence so far suggests that 0DTE positioning is more balanced/complex than a market that is simply one-way short tails.”. In Kolanovic’s view, the risk involves options dealers, who take the other side of trades and must buy and sell stocks to keep a market-neutral stance. On a big down day, such intraday selling would reach $30 billion, his model showed. Not so fast, per BofA. To Saksena, the extreme investor positioning emboldened the 2018 “Volmageddon” episode, where everyone was betting on a decline in volatility that left the market vulnerable to a violent reversal. Back then, the main culprits were exchange-traded products designed to pay investors the inverse of equity volatility. When turbulence in stocks ramped up in early February of that year, it triggered a snowballing effect that eventually sent many such strategies hurtling toward worthlessness, contributing to a 10% plunge in the S&P 500 over two weeks. Right now, the ingredients for a market shock, such as extremely one-sided positioning, are largely absent, according to BofA’s Saksena. Take implied volatility, a gauge of the cost of options. For 0DTE contracts, they typically fetch a pricing premium that’s 2.5 times larger for longer-dated S&P 500 options — a level that the team said is “likely inconsistent with a market that has been overrun by option sellers.”.

Bank of Korea Holds Rates Unchanged as Expected.

NVDA comes out on top of sky high expectations. ✈️✈️✈️

Bottom-line: 금리인상을 중간에 종료할 것에 대한 내용은 없으며, 지난 기자회견에서 파월 의장은 그 질문에 오늘의 의사록을 보시라 했었음. When a reporter on Feb. 1 asked about whether policymakers discussed a pause in rate hikes, Powell suggested looking at the minutes. But I’m not seeing any sign of such a discussion. No pause suggested in this language.

Ira Jersey’s sentiment model displays a significant move in the dovish direction.

Bottom-line: 올해 인플레이션이 급격히 하락할 것으로 보면서도, 2025년이 되어서야 중앙은행이 목표하는 인플레이션 수준에 도달할 수 있을 것으로 생각하고 있었음. With steep declines in consumer energy prices and a substantial moderation in food price inflation expected for this year, total inflation was projected to step down markedly this year and then to track core inflation over the following two years. In 2025, both total and core PCE price inflation were expected to be near 2 percent.

Bottom-line: 일부는 인플레이션 하락을 동반하는 경제 성장을, 일부는 여전히 올해 침체 위험을 예상함. Some participants judged that recent economic data signaled a somewhat higher chance of continued subdued economic growth, with inflation falling over time. Other participants noted that the probability of the economy entering a recession in 2023 remained elevated.

Bottom-line: 여전히 25bp씩 금리인상을 선호할 것으로 보임. Fed speak the next two weeks could move market expectations. Although ‘a few’ members might favor a 50 bps hike, we think ultimately the Fed will remain in calibration mode and move in 25 bps increments.

Zero “disinflation” mentions versus 91 “inflation” mentions, down from 103 at the last meeting.

Fed sentiment indicator.

The minutes also said “almost all’’ officials agreed it was appropriate to raise interest rates by 25 basis points at the meeting, while “a few” favored or could have supported a bigger 50 basis-point hike.

See you 4am. 🛌

어이쿠, 진짜 Fed가 지긋지긋한갑네, 반응 봐라. 🤦🏻‍♂️

방금 발언 이후 지수가 상승한 것은, 이번에 시장 참여자들은 중앙은행이 제시한 점도표보다 더 앞서 나가서 있기 때문임.

Bullard Still Favors Hiking Rates to 5.375% as Fast as Possible.

Let's Lunch. erase poor stonk. 🍽️

1. 경제가 나쁜데 금리를 올린다. - 경제가 좋아지거나, - 금리를 안올리면 되네. 2. 경제가 좋아서 금리를 올린다. - 근데 왜? 🤦🏻‍♂️ : 이런걸 잘못이라고 하는거야, 스튜어디스 Fed.