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Big (small) cap pain

Russell hitting huge levels

Russell hitting the 21 day moving average and the trend line that has been in place since October lows. RSI has gone from extremely overbought to the least overbought since mid November.

Source: Refinitiv

Small cap fear

Russell "fear", RVX, is spiking today again, trading at the highest levels since late October. The gap vs VIX is huge...

Source: Refinitiv

Recall Russell mania?

Just a gentle reminder of the IWM call mania from around mid December.

Source: GS

Fading RSI

SPX is down to trend channel lows. The 21 day comes in some 20 points lower. Further fading RSI is not a great sign...

Source: Refinitiv

One way

CTAs are sensitive to downside risks in equities. Latest 1 month projections via GS.

Source: GS

VVIX chilling

We have seen volatilities pick up rapidly, but note the VVIX is in a rather "chilled" mode.

Source: Refinitiv

The VIX short

Dealers are still running relatively big VIX shorts. Nomura's McElligott: "The “perpetual hedging budget” of the VIX Call Buyer is still burning prem and lugging a ton of Feb VIX Upside which has Dealers Short, and still then risking “accelerant flows” on any Vol squeeze catalyst".

Source: Nomura

The dormant bid

1. Approximately 70% of the S&P 500 is currently in a blackout period, and this is expected to increase to approximately 80% by the end of the week.

2. Typically, we observe a decline in flows of around 30-35% during blackout periods.

Source: GS

Oil - positive divergence

Oil has formed some sort of base around these levels. We are still below the short term negative trend, but note the positive RSI divergence. A close above the negative trend and things could reignite to the upside.

Source: Refinitiv

Will they?

Upside is the convexity risk in oil for the CTA crowd.

Source: GS

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21 hours ago at 15:28

Hard to get excited: Be boring

Hard to get excited

JPM's positioning intelligence team, who nailed the melt up, summing up the view here: "... it’s hard to be excited about the market in the near-term from a positioning standpoint, given how much has changed in the past ~2 months."

Lot of longs

Positioning is elevated.

Source: JPM

Confident crowd

Short interest at rather extreme (low) levels.

Source: JPM

Non profitable tech

The year has started with big moves lower in stuff like non profitable tech. "Slightly" frustrating for the crowd that started covering a lot of shorts in December, missing the latest puke.

Source: GS PB

Be boring

Low volatility, SPLV, beating high beta, SPHB, so far this year. Chart 2 shows the SPLV/SPHB ratio. The entire move from mid December has been reverted...

Source: Refinitiv

8 hours ago at 4:39

Apple: The "sentimentor" approaching must hold levels

Must hold, or...

The world's biggest "sentimentor" has just broken below the 100 day and trading close to the 200 day moving average (second big downgrade, see here). Note the bigger trend line comes in slightly lower. 180 is the "must hold" area.

Source: Refinitiv

Can both be right?

The Apple vs SPX gap is very wide here. Time for a "pairs" trade, or is Apple trying to tell us something?

Source: Refinitiv

Not all vols are calm - Apple edition

Bullish or bearish, but you look closely when Apple volatility (VXAPL) moves like it has done recently. Chart showing VXAPL vs VXN.

Source: Refinitiv

Apple skew

Note that the entire skew structure is trading above the "cone" (10th - 90th percentile range), especially the "up to" 10% lower strikes.

Source: Refinitiv

What if

The big have become very big. It works great on the way up, but with Apple's latest puke, we ask ourselves if this works the inverse way as well. Tavi Costa: "The aggregate weight of Apple and Microsoft in the S&P 500 index is now larger than 4 sectors combined, and 70x greater than the entire metals and mining industry."

Source: Crescat

3 hours ago at 9:41

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Big (small) cap pain

Russell hitting huge levels

Source: Refinitiv

Small cap fear

Source: Refinitiv

Recall Russell mania?

Source: GS

Fading RSI

Source: Refinitiv

One way

Source: GS

VVIX chilling

Source: Refinitiv

The VIX short

Source: Nomura

The dormant bid

Source: GS

Oil - positive divergence

Source: Refinitiv

Will they?

Source: GS

Hard to get excited: Be boring

Hard to get excited

Lot of longs

Source: JPM

Confident crowd

Source: JPM

Non profitable tech

Source: GS PB

Be boring

Source: Refinitiv

Source: Refinitiv

Apple: The "sentimentor" approaching must hold levels

Must hold, or...

Source: Refinitiv

Can both be right?

Source: Refinitiv

Not all vols are calm - Apple edition

Source: Refinitiv

Apple skew

Source: Refinitiv

What if

Source: Crescat

Today's Top Stories

Bill Clinton, Stephen Hawking At An Orgy, And Michael Jackson: Here's Who's In Unsealed Epstein Docs So Far