US stocks turned higher in thin trading as investors assessed the latest economic earnings data against the outlook for interest-rate hikes. Treasury yields were lower across the board, while the dollar gained.
Bottom-line: 중국의 국채 수익률 하락을 경기부양을 위한 금리인하를 반영하고 있다 생각할 수도 있지만, 장기로 기간을 일본의 과거와 겹쳐보면 오랜 시간 경기침체로 접어들 위험도 보임. 채권 수익률 뿐만 아니라 부동산의 호황과 불황, 미국과의 패권 대립과 무역분쟁이 과거 일본과 흡사하다는 점도 불안을 키우는 요인임.
A similarity between recent history for Chinese and Japanese bond markets suggests China may be entering a protracted period of economic stagnation. China’s 10-year yield may be heading toward a two-decade low driven by prospects for more rate cuts, as Wes Goodman noted, but it may not end there. When you overlay it with Japan’s and shift timeline to match their historic highs, you can see some resemblance between the two. Granted, any economy will face a shrinking growth potential and a chronic decline in bond yields as it matures. Still, it’s notable that the boom and bust in China’s property sector, the nation’s perceived challenge to American supremacy and the trade war between the two economies all look like what happened to Japan in the 1980s-1990s. Adding to these is China’s rapidly falling birth rate without any immigration policy to reverse it.
A similarity between recent history for Chinese and Japanese bond markets suggests China may be entering a protracted period of economic stagnation. China’s 10-year yield may be heading toward a two-decade low driven by prospects for more rate cuts, as Wes Goodman noted, but it may not end there. When you overlay it with Japan’s and shift timeline to match their historic highs, you can see some resemblance between the two. Granted, any economy will face a shrinking growth potential and a chronic decline in bond yields as it matures. Still, it’s notable that the boom and bust in China’s property sector, the nation’s perceived challenge to American supremacy and the trade war between the two economies all look like what happened to Japan in the 1980s-1990s. Adding to these is China’s rapidly falling birth rate without any immigration policy to reverse it.
Bottom-line: 국채 수익률과 주가수익비율의 역수를 비교하면 주식보다 채권이 더 투자매력이 있다고 할 수 있음. 2020년 3월 이후 어닝스 일드라고 불리는 주가수익비율의 역수(E/P)와 국채 금리 간 차이는 2.85%까지 270bp 하락함. 중앙은행의 긴축과 경기침체 우려가 국채 수익률이 떨어지게 할 수도 있지만, 실상 이런 시기라면 기업의 이익(E)이 더 가파르게 하락하며 현재보다 더 불리하게 될 것임.
‘Fed Model’ Shows Treasuries May Outshine S&P 500. An equity valuation model suggests US stocks are overvalued relative to Treasuries. The spread between the S&P 500 Index’s earnings yield and Treasury 10-year notes has fallen 270bps to 2.85% points from a peak in March 2020. Even after the drop, it’s still about 1% point higher than the average in the past decade. This so-called Fed Model, which takes the inverse of the gauge’s price-to-earnings ratio and subtracts the 10-year Treasury yield from it, characterizes the current market environment well: the darkening prospects for corporate earnings amid growing risks of a US recession along with elevated bond yields driven by Fed policy tightening. Eventually a growth slowdown will prompt the Fed to reverse its course and bond yields to fall, but corporate earnings could be even more depressed at that time. Treasuries appear to have advantage over stocks.
‘Fed Model’ Shows Treasuries May Outshine S&P 500. An equity valuation model suggests US stocks are overvalued relative to Treasuries. The spread between the S&P 500 Index’s earnings yield and Treasury 10-year notes has fallen 270bps to 2.85% points from a peak in March 2020. Even after the drop, it’s still about 1% point higher than the average in the past decade. This so-called Fed Model, which takes the inverse of the gauge’s price-to-earnings ratio and subtracts the 10-year Treasury yield from it, characterizes the current market environment well: the darkening prospects for corporate earnings amid growing risks of a US recession along with elevated bond yields driven by Fed policy tightening. Eventually a growth slowdown will prompt the Fed to reverse its course and bond yields to fall, but corporate earnings could be even more depressed at that time. Treasuries appear to have advantage over stocks.
Federal Reserve officials spent much of this week pushing back against market dovishness, but traders will have to wait until next week at Jackson Hole for something to really get their teeth into.
Bottom-line: 주식과 회사채가 모두 투자자들로부터 사랑을 받았던 여름이 지나면, 긴축과 침체로 인해 둘은 다른 길을 갈 것으로 예상됨. 중앙은행의 긴축과 기업 이익 압박이 주식에 부정적인 반면에 채권은 안전자산 선호로 부각될 것, 이 국면에 그나마 살아남을 주식은 애플과 아마존 같은 성장주라고 제이피모건은 주장함.
It's been a summer of love for both stocks and company bonds. But having moved in tandem, the two are now set to decouple as tightening and recession fears take hold. Strategists see a hawkish Fed and earnings pressure denting stocks, while a potential flight-to-safety may benefit Treasuries and bonds. One trade that could offer a big support to equities: so-called growth stocks such as Apple and Amazon, which JPMorgans expect to keep climbing.
It's been a summer of love for both stocks and company bonds. But having moved in tandem, the two are now set to decouple as tightening and recession fears take hold. Strategists see a hawkish Fed and earnings pressure denting stocks, while a potential flight-to-safety may benefit Treasuries and bonds. One trade that could offer a big support to equities: so-called growth stocks such as Apple and Amazon, which JPMorgans expect to keep climbing.
Bottom-line: 투자자들은 중앙은행이 지속해서 인플레이션을 통제하기 위해 강력한 정책을 쓰겠다는데 믿음을 가지지 않고 주식 시장 랠리를 만들었고, 긴축으로 전환했음에도 불구하고 금융시장환경은 완화적으로 바뀌었음. 7월 이후 공식 석상에서 본인의 의견을 말한 적이 없는 의장에게는 이번이 투자자들의 기대를 다시 돌릴 수 있는 기회임.
Powell Has Chance to Reset Market Expectations at Jackson Hole. Federal Reserve Chair Jerome Powell will have a chance -- if he wants to take it -- to reset expectations in financial markets when central bankers gather this week at their annual Jackson Hole retreat. US stocks have rallied since the Fed’s last policy meeting in late July amid growing expectations that the central bank will begin slowing the pace of tightening, as well as signs that inflationary pressures may be moderating. Investors have been mostly unfazed by strident assertions from policy makers along the way that their fight against inflation is far from over, though the chair himself has yet to speak since his July 27 post-meeting press conference.
Powell Has Chance to Reset Market Expectations at Jackson Hole. Federal Reserve Chair Jerome Powell will have a chance -- if he wants to take it -- to reset expectations in financial markets when central bankers gather this week at their annual Jackson Hole retreat. US stocks have rallied since the Fed’s last policy meeting in late July amid growing expectations that the central bank will begin slowing the pace of tightening, as well as signs that inflationary pressures may be moderating. Investors have been mostly unfazed by strident assertions from policy makers along the way that their fight against inflation is far from over, though the chair himself has yet to speak since his July 27 post-meeting press conference.
Bottom-line: 해저드로 공을 보내버린 파월에게 주어진 멀리건, 달러는 이번 차례에는 성공할 것으로 반영하고 있음.
Equity investors may be more on edge than normal going into this year’s Jackson Hole gathering. Fed Chair Jerome Powell’s Friday speech kicks off the gathering and there’s plenty of anticipation he will push back hard against the considerable loosening in financial conditions, a decent part of which has involved the strong rebound rallies in equities. The dollar just had its biggest weekly gain since the pandemic and the risks look skewed toward the upside. Stocks globally have been moving inversely in line with the dollar, so if the greenback busts out to fresh record highs it’s likely equities would make fresh lows. Shares are a lot further away from this cycle’s troughs than the dollar is from recent peaks.
Equity investors may be more on edge than normal going into this year’s Jackson Hole gathering. Fed Chair Jerome Powell’s Friday speech kicks off the gathering and there’s plenty of anticipation he will push back hard against the considerable loosening in financial conditions, a decent part of which has involved the strong rebound rallies in equities. The dollar just had its biggest weekly gain since the pandemic and the risks look skewed toward the upside. Stocks globally have been moving inversely in line with the dollar, so if the greenback busts out to fresh record highs it’s likely equities would make fresh lows. Shares are a lot further away from this cycle’s troughs than the dollar is from recent peaks.
Bottom-line: 서로 다른 방향의 G2 때문에 갈피를 잡기 힘든 유럽.
Hawks to the West, Doves to the East, and ECB Stuck in Between. Fed speakers have front-loaded some of the Jackson Hole angst, but the event looms large over the week. Elsewhere, the ECB’s account of its July meeting is due, while China continues to address its economic slowdown.
Hawks to the West, Doves to the East, and ECB Stuck in Between. Fed speakers have front-loaded some of the Jackson Hole angst, but the event looms large over the week. Elsewhere, the ECB’s account of its July meeting is due, while China continues to address its economic slowdown.
Bottom-line: 리테일 투자자들의 주식들에 생기를 불어넣었던 베드 배스 & 비욘드가 장 전 하락하며 그간 수익 대부분을 반납하고 다른 유사품들도 같이 끌고 내려오고 있음. 이 회사의 지분을 대량 보유했던 행동주의자는 6,810만 달러의 이익을 챙기며 전량 매도했고, 회사의 비지니스는 점점 악화되고 있음.
Bed Bath & Beyond Inc. and GameStop Corp. plunged again in US premarket trading, leading the cohort of so-called meme-stocks lower as the group is set to wipe off most of their gains from the recent frenzy. Over the weekend, a Bloomberg News report said that some Bed Bath & Beyond suppliers were restricting or halting shipments altogether after the company fell behind on payments. Shares of the retailer were down 9.6% in premarket trading, while those of fellow meme stock GameStop fell 5.7%. “There are big questions about how the retailer can turn things around when the inflationary environment is hurting their potential consumer,” said Danni Hewson, an analyst at AJ Bell. The broader pullback in meme stocks started last week after Bed Bath & Beyond’s top investor Ryan Cohen disclosed that he was selling his stake in the home goods retailer. The activist investor went on to dump his entire stake and pocketed $68.1 million in profits, triggering the stock’s biggest intraday percentage decline ever on Friday.
Bed Bath & Beyond Inc. and GameStop Corp. plunged again in US premarket trading, leading the cohort of so-called meme-stocks lower as the group is set to wipe off most of their gains from the recent frenzy. Over the weekend, a Bloomberg News report said that some Bed Bath & Beyond suppliers were restricting or halting shipments altogether after the company fell behind on payments. Shares of the retailer were down 9.6% in premarket trading, while those of fellow meme stock GameStop fell 5.7%. “There are big questions about how the retailer can turn things around when the inflationary environment is hurting their potential consumer,” said Danni Hewson, an analyst at AJ Bell. The broader pullback in meme stocks started last week after Bed Bath & Beyond’s top investor Ryan Cohen disclosed that he was selling his stake in the home goods retailer. The activist investor went on to dump his entire stake and pocketed $68.1 million in profits, triggering the stock’s biggest intraday percentage decline ever on Friday.
Bottom-line: 로렌스 서머스는 잭슨홀 연설에서 중앙은행이 여전히 낮은 실업률과 낮은 인플레이션이 가능하다 발언할까 두려우며, 명확하게 실업률을 높여서라도 물가를 통제하겠다는 메시지를 전달해야 한다고 주장함.
Former Treasury Secretary Lawrence Summers called on the Federal Reserve to deliver a clear message saying it will need to impose “restrictive” monetary policy that drives up the US unemployment rate in order to quell inflation. “My worst fear would be that the Fed will continue to be suggesting that it can have it all in terms of low inflation, low unemployment and a healthy economy,” Summers told Bloomberg Television’s “Wall Street Week” with David Westin. Summers was asked what he was most concerned about with regard to this week’s annual economic conference at Jackson Hole, Wyoming, where Fed Chair Jerome Powell and other officials are slated to speak.
Former Treasury Secretary Lawrence Summers called on the Federal Reserve to deliver a clear message saying it will need to impose “restrictive” monetary policy that drives up the US unemployment rate in order to quell inflation. “My worst fear would be that the Fed will continue to be suggesting that it can have it all in terms of low inflation, low unemployment and a healthy economy,” Summers told Bloomberg Television’s “Wall Street Week” with David Westin. Summers was asked what he was most concerned about with regard to this week’s annual economic conference at Jackson Hole, Wyoming, where Fed Chair Jerome Powell and other officials are slated to speak.
Bottom-line: 2008년 금융위기는 지난 시스템이 얼마나 불투명했는지와 앞으로 투명성이 중요하다는 사실을 인지시켰고, 금융시장의 변동성과 충격을 완화시키기 위해 포워드 가이던스를 만들었음. 그러나 데이터에 의존하는 중앙은행의 예측은 비참할 정도로 틀렸고, 심지어 본인들이 해야 할 일(Dot plot)을 예측한 것조차도 계속 틀렸기 때문인지, 이제는 이 모든 것을 없애야 할 때가 되었다고 판단하는 것 같음.
The Federal Reserve’s forward guidance program has been a disaster, so much so that it has strained the central bank’s credibility. Chair Jerome Powell seems to agree that providing estimates of where the Fed sees interest rates, economic growth and inflation at different points in the future should be junked. “We think it’s time to just go to a meeting-by-meeting basis, and not provide the kind of clear guidance we had provided,” he saidafter the Fed’s July 26-27 monetary policy meeting. When it began providing forward guidance almost 14 years ago, the Fed hoped that by making clear its intentions through its Quarterly Summary of Economic Projections and press conferences, it could avoid disruptive market shocks and reduce volatility. The financial meltdown of 2008 had revealed the opaqueness of the old system and the need for transparency. The central bank succumbed to the transparency pressures and in December 2008 began the use of forward guidance when it cut its overnight federal funds policy rate to near-zero and said it “will employ all available tools to promote the resumption of sustainable economic growth and to preserve price stability. In particular, the [Federal Open Market] Committee anticipates that weak economic conditions are likely to warrant exceptionally low levels of the federal funds rate for some time.”. The basic problem with forward guidance is that it depends on data that the Fed had a miserable record of forecasting. It was consistently too optimistic about an economic recovery after the 2007-2009 Great Recession. In September 2014, policy makers forecast real gross domestic product growth in 2015 of 3.40% but were forced to constantly crank their expectations down to 2.10% by September 2015. The federal funds rate is not a market-determined interest rate but is set and controlled by the Fed, and nobody challenges the central bank. Yet the FOMC members were infamously terrible at forecasting what they themselves would do, as seen in the so-called dot plot of individual FOMC members’ rate projections shown in the chart. In 2015, their average projection of the 2016 federal funds rate was 0.90% and 3.30% in 2019. The actual numbers were 0.38% and 2.38%.
The Federal Reserve’s forward guidance program has been a disaster, so much so that it has strained the central bank’s credibility. Chair Jerome Powell seems to agree that providing estimates of where the Fed sees interest rates, economic growth and inflation at different points in the future should be junked. “We think it’s time to just go to a meeting-by-meeting basis, and not provide the kind of clear guidance we had provided,” he saidafter the Fed’s July 26-27 monetary policy meeting. When it began providing forward guidance almost 14 years ago, the Fed hoped that by making clear its intentions through its Quarterly Summary of Economic Projections and press conferences, it could avoid disruptive market shocks and reduce volatility. The financial meltdown of 2008 had revealed the opaqueness of the old system and the need for transparency. The central bank succumbed to the transparency pressures and in December 2008 began the use of forward guidance when it cut its overnight federal funds policy rate to near-zero and said it “will employ all available tools to promote the resumption of sustainable economic growth and to preserve price stability. In particular, the [Federal Open Market] Committee anticipates that weak economic conditions are likely to warrant exceptionally low levels of the federal funds rate for some time.”. The basic problem with forward guidance is that it depends on data that the Fed had a miserable record of forecasting. It was consistently too optimistic about an economic recovery after the 2007-2009 Great Recession. In September 2014, policy makers forecast real gross domestic product growth in 2015 of 3.40% but were forced to constantly crank their expectations down to 2.10% by September 2015. The federal funds rate is not a market-determined interest rate but is set and controlled by the Fed, and nobody challenges the central bank. Yet the FOMC members were infamously terrible at forecasting what they themselves would do, as seen in the so-called dot plot of individual FOMC members’ rate projections shown in the chart. In 2015, their average projection of the 2016 federal funds rate was 0.90% and 3.30% in 2019. The actual numbers were 0.38% and 2.38%.
Bottom-line: 금요일 2조 달러 규모의 옵션 만기가 지나며 추세가 급격히 하락하며 변동성이 커진 것은 이상한 일이 아님. 이전까지 마켓 메이커들의 포지션이 시장 하락 시 반대로 매수하며 중립을 맞추는 롱 감마였다가 만기일 이후 시장 방향에 따라 동일하게 매수와 매도를 하는 숏 감마 포지션이기 때문임. 다만 이런 현상은 옵션이 되려 기초자산을 옵션에 따라 움직이는 파생상품으로 만들고 있다는 다소 논쟁의 여지가 있는 설명임.
It’s no coincidence that US stocks began their worst retreat in two months right around the time when an estimated $2 trillion of options closed out in a widely watched market event. In the telling of Charlie McElligott, a cross-asset strategist at Nomura Securities International, Friday’s options expiration has triggered a big shift in market positioning, whereby dealers are now causing an increase in volatility after previously helping to suppress price moves. Before the event known as OpEx, these market makers were stuck in “long gamma” positions that left them needing to go against the prevailing equity trend to maintain a neutral market exposure. With derivatives contracts rolling off, dealers are now mired in a “short gamma” stance that requires them to sell stocks when they fall and buy them when they rise. The dynamics may have underpinned Monday’s selloff, with the S&P 500 poised for its first back-to-back drop of 1% since mid-June. Along the way, the index gave up on 4,232, a level that marked the midpoint of the 2022 bear market and was earlier cheered by bulls as a sign for portending more gains ahead. “The anticipated post OpEx ‘gamma unclench’ arrives and is allowing US equities a larger trading distribution thereafter,” McElligott wrote in a note Monday. That has seen the market “break below some notable technical levels.”. The view is the latest example of a controversial narrative that suggests that the stock market has effectively become a derivative of its own derivative -- one that upends the traditional relationship between options and their underlying assets.
It’s no coincidence that US stocks began their worst retreat in two months right around the time when an estimated $2 trillion of options closed out in a widely watched market event. In the telling of Charlie McElligott, a cross-asset strategist at Nomura Securities International, Friday’s options expiration has triggered a big shift in market positioning, whereby dealers are now causing an increase in volatility after previously helping to suppress price moves. Before the event known as OpEx, these market makers were stuck in “long gamma” positions that left them needing to go against the prevailing equity trend to maintain a neutral market exposure. With derivatives contracts rolling off, dealers are now mired in a “short gamma” stance that requires them to sell stocks when they fall and buy them when they rise. The dynamics may have underpinned Monday’s selloff, with the S&P 500 poised for its first back-to-back drop of 1% since mid-June. Along the way, the index gave up on 4,232, a level that marked the midpoint of the 2022 bear market and was earlier cheered by bulls as a sign for portending more gains ahead. “The anticipated post OpEx ‘gamma unclench’ arrives and is allowing US equities a larger trading distribution thereafter,” McElligott wrote in a note Monday. That has seen the market “break below some notable technical levels.”. The view is the latest example of a controversial narrative that suggests that the stock market has effectively become a derivative of its own derivative -- one that upends the traditional relationship between options and their underlying assets.
• 좀 더 쉽게 부연 설명을 하자면,
Long gamma: 옵션 포지션 구축 이후 주식에 대해선 저점 매수, 고점 매도 구조므로 변동성이 갇힘. 최근 VIX가 막혔던 이유
Short gamma: 옵션 포지션 구축 이후 저점 매도 고점 매수로 방향이 일치 되며 변동성 확대, 금요일 만기 이후 VIX 움직임
Long gamma: 옵션 포지션 구축 이후 주식에 대해선 저점 매수, 고점 매도 구조므로 변동성이 갇힘. 최근 VIX가 막혔던 이유
Short gamma: 옵션 포지션 구축 이후 저점 매도 고점 매수로 방향이 일치 되며 변동성 확대, 금요일 만기 이후 VIX 움직임