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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
Bottom-line: 유로화 약세가 신흥국 통화까지 휘몰아치고 있으며, 현재 유로화 옵션 포지션은 잭슨홀 연설 시점으로 달러 대비 유로 가치 0.9850 행사가에 집중되어 있음. 특히 이런 약세는 달러의 추가적 강세에 집중되어 있으며, 아시아 통화 중 원화의 경우 중국의 수입 감소에 따른 수출 부진으로 13년래 최저 수준의 가치까지 떨어지고 있음.
The economic headwinds for the euro are turning into a hurricane and that will weigh on most Asian currencies. In the near-term, EUR/USD traders could be focused on a large cluster of option strikes at 0.9850 which expire around the time Jerome Powell is set to speak at Jackson Hole. The flip side of euro weakness is more power to the dollar advance. In Asia, some of the read-across can be seen in the Indian rupee and Korean won. Trading volumes are running hot for USD/INR options and NDFs, coinciding with the cross rising toward the record highs seen in July. Meanwhile, USD/KRW is running at the highest levels in 13 years as Korea’s export sector feels the pinch from lower China imports. Even the Thai baht has lost some of the euphoria from rising tourist arrivals with USD/THB back onto a 36 handle.
The economic headwinds for the euro are turning into a hurricane and that will weigh on most Asian currencies. In the near-term, EUR/USD traders could be focused on a large cluster of option strikes at 0.9850 which expire around the time Jerome Powell is set to speak at Jackson Hole. The flip side of euro weakness is more power to the dollar advance. In Asia, some of the read-across can be seen in the Indian rupee and Korean won. Trading volumes are running hot for USD/INR options and NDFs, coinciding with the cross rising toward the record highs seen in July. Meanwhile, USD/KRW is running at the highest levels in 13 years as Korea’s export sector feels the pinch from lower China imports. Even the Thai baht has lost some of the euphoria from rising tourist arrivals with USD/THB back onto a 36 handle.
Bottom-line: 10년물 국채 금리가 3%를 향하는 것을 보고 놀라고 있다면, 연 초 실질금리가 상승하면서 기술주를 약세장으로 몰아넣었던 것을 상기할 필요가 있음. 실질적인 차입비용이며 밸류에이션에 영향을 줄 뿐 아니라 채권의 투자 매력도 척도로 역할하는 실질금리가 4주 최고치를 갱신하고 있기 때문임. 실질금리를 역축으로하고 기술주와 비교한 아래 차트를 참고하면 됨.
Benchmark Treasuries back above 3% have sent a shiver down the spine of the world’s equity investors but it’s real yields that are once again poised to do the most damage to stocks. Ten-year US inflation adjusted yields -- seen by many as the true gauge of borrowing costs -- have jumped 35 basis points so far this month and are headed for a four-week high. That’s a move that threatens to undermine equity valuations once more and eat into their relative attraction to bonds. So it’s no surprise that high-priced tech stocks have been under the most pressure in recent days -- the climb in real yields played a role in pushing the Nasdaq 100 into a bear market earlier this year. Yet price-earnings ratios overall have yet to fully adjust to the shift in yields -- see the chart below, where I have inverted the real rate to show the relationship better.
Benchmark Treasuries back above 3% have sent a shiver down the spine of the world’s equity investors but it’s real yields that are once again poised to do the most damage to stocks. Ten-year US inflation adjusted yields -- seen by many as the true gauge of borrowing costs -- have jumped 35 basis points so far this month and are headed for a four-week high. That’s a move that threatens to undermine equity valuations once more and eat into their relative attraction to bonds. So it’s no surprise that high-priced tech stocks have been under the most pressure in recent days -- the climb in real yields played a role in pushing the Nasdaq 100 into a bear market earlier this year. Yet price-earnings ratios overall have yet to fully adjust to the shift in yields -- see the chart below, where I have inverted the real rate to show the relationship better.
Yet price-earnings ratios overall have yet to fully adjust to the shift in yields.
기술주의 밸류에이션과 실질금리가 밀접한 역의 관계를 가지는데 실질금리 상승분 대비 밸류에이션 할인 폭이 덜하다는 주장임.
기술주의 밸류에이션과 실질금리가 밀접한 역의 관계를 가지는데 실질금리 상승분 대비 밸류에이션 할인 폭이 덜하다는 주장임.
Bottom-line: 파월이 생크를 내도 달러는 페어웨이.
The dollar looks poised to withstand any dovish soundbites from Jackson Hole. As the risk of dollar gauges like the Bloomberg Dollar Spot Index hitting a new 2022 high is priced in and not out, that begs the question: What if Powell fails to deliver on the hawkish front? In the greenback’s favor are local issues weighing on the pound, euro and yuan. All this while BOJ policy remains frozen in the nineties. That leaves a slew of technical supports, which provide a solid base to cushion any dovishly received language from Powell & Co.
The dollar looks poised to withstand any dovish soundbites from Jackson Hole. As the risk of dollar gauges like the Bloomberg Dollar Spot Index hitting a new 2022 high is priced in and not out, that begs the question: What if Powell fails to deliver on the hawkish front? In the greenback’s favor are local issues weighing on the pound, euro and yuan. All this while BOJ policy remains frozen in the nineties. That leaves a slew of technical supports, which provide a solid base to cushion any dovishly received language from Powell & Co.
Bottom-line: 유럽 지역 경제활동이 두 달 연속 위축되며 침체로 진입 중임. 이번 조사에서는 제조업 뿐만 아니라 서비스업 또한 인플레이션에 의한 소비 위축에 영향을 받은 것으로 나타남.
Euro-area economic activity declined for a second month, signaling that fears of a recession may already be coming to pass as record inflation saps demand and weakness seeps into more and more sectors. While August’s drop was driven by manufacturing, the post-lockdown rebound in services like tourism almost ground to a halt as consumers face steep gains in energy and food costs, according to business surveys by S&P Global.
Euro-area economic activity declined for a second month, signaling that fears of a recession may already be coming to pass as record inflation saps demand and weakness seeps into more and more sectors. While August’s drop was driven by manufacturing, the post-lockdown rebound in services like tourism almost ground to a halt as consumers face steep gains in energy and food costs, according to business surveys by S&P Global.
Bottom-line: 미국 10년물 국채금리 3%에서 채권 매도가 집중되며 금리 곡선이 가팔라짐.
US yield curves are steepening as 10-year bonds sell off. The 2s10s curve has risen to -26 bps from -32 bps in the past hour.
US yield curves are steepening as 10-year bonds sell off. The 2s10s curve has risen to -26 bps from -32 bps in the past hour.
Bottom-line: Waiting game.
Stocks ended in the red after weak economic data, with traders looking to the Jackson Hole symposium later this week for more clarity on the Fed's path. The S&P closed down 0.2%, the dollar halted a four-day rally, and Treasury 10-year yields traded up at around 3.06%. Oil rallied, as did gold. "For the moment, global sentiment is both skittish and volatile," said Richard Hunter at Interactive Investor. "There is little cause for optimism on the immediate horizon." Asian equity futures are in the green.
Stocks ended in the red after weak economic data, with traders looking to the Jackson Hole symposium later this week for more clarity on the Fed's path. The S&P closed down 0.2%, the dollar halted a four-day rally, and Treasury 10-year yields traded up at around 3.06%. Oil rallied, as did gold. "For the moment, global sentiment is both skittish and volatile," said Richard Hunter at Interactive Investor. "There is little cause for optimism on the immediate horizon." Asian equity futures are in the green.
Bottom-line: 부진한 경제지표가 발표될 때마다 중앙은행의 금리인상을 저지할 것이란 기대를 형성하던 작용이 더는 작동하지 않고, 되려 금리인상 기간이 길어질 수 있다는데 포지션이 쌓이고 있음.
Economic Disappointments Fail to Slow Hawkish Fed Bets. Weak US economic data pulled the dollar lower, and gave bond bears reason to pause, but didn’t halt the market’s drive to price in higher long-term rates. The two-year bond auction tailed, clearing at 3.307%, which was the highest yield for a two-year since 2007 and 1.4 bps off the WI yield. Despite the lackluster auction, the Treasury curve steepened. As this chart of the overnight index swap curve shows, traders are bracing for the Fed to keep rates up for longer -- pushing back cuts.
Economic Disappointments Fail to Slow Hawkish Fed Bets. Weak US economic data pulled the dollar lower, and gave bond bears reason to pause, but didn’t halt the market’s drive to price in higher long-term rates. The two-year bond auction tailed, clearing at 3.307%, which was the highest yield for a two-year since 2007 and 1.4 bps off the WI yield. Despite the lackluster auction, the Treasury curve steepened. As this chart of the overnight index swap curve shows, traders are bracing for the Fed to keep rates up for longer -- pushing back cuts.
Bottom-line: 골드만삭스의 분기 헤지펀드 모니터링 보고서에 따르면, 총 규모 및 순노출도는 줄인 반면, 상위 10개 종목이 포트폴리오에 차지하는 비중은 70%로 위험은 줄이되 선택과 집중은 더 높인 것으로 나타났음. 상위 집중 바스켓에서 아마존이 마이크로소프트를 추월해 가장 큰 비중을 차지했는데, 지난 분기 각각 +26%, +8% 상승한 것으로 보면 시의적절한 베팅이었음. 업종으로는 다시 기술주와 재량소비재(테슬라가 큰 영향) 비중을 높였음.
Hedge funds ramped up bets on megacap US tech stocks and whittled down overall holdings to focus on favored names last quarter, with conviction climbing back to levels seen at the start of the pandemic, according to Goldman Sachs Group Inc. The funds boosted tech and consumer discretionary holdings, while cutting energy and materials wagers, strategists including Ben Snider wrote in a note Tuesday. Separately, average weightings of top 10 holdings jumped to 70% in the three months ended June, the highest concentration since the first quarter of 2020. Amazon.com Inc. supplanted Microsoft Corp. as the most popular long position, a timely call given that the former has rallied 26% this quarter versus an 8% climb in the latter. The funds also boosted bets on Nvidia Corp., Apple Inc., Atlassian Corp. and Tesla Inc., according to the report. “Stymied by an uncertain market environment and poor recent returns, hedge funds have cut leverage, shifted back towards growth, and increased portfolio concentrations,” the Goldman team wrote. “Performance has recently improved, matching the typical experience during correction rebounds, though leverage has room to rise if the market remains resilient.”
Hedge funds ramped up bets on megacap US tech stocks and whittled down overall holdings to focus on favored names last quarter, with conviction climbing back to levels seen at the start of the pandemic, according to Goldman Sachs Group Inc. The funds boosted tech and consumer discretionary holdings, while cutting energy and materials wagers, strategists including Ben Snider wrote in a note Tuesday. Separately, average weightings of top 10 holdings jumped to 70% in the three months ended June, the highest concentration since the first quarter of 2020. Amazon.com Inc. supplanted Microsoft Corp. as the most popular long position, a timely call given that the former has rallied 26% this quarter versus an 8% climb in the latter. The funds also boosted bets on Nvidia Corp., Apple Inc., Atlassian Corp. and Tesla Inc., according to the report. “Stymied by an uncertain market environment and poor recent returns, hedge funds have cut leverage, shifted back towards growth, and increased portfolio concentrations,” the Goldman team wrote. “Performance has recently improved, matching the typical experience during correction rebounds, though leverage has room to rise if the market remains resilient.”
Bottom-line: 경제활동이 봉쇄로부터 풀리며 빠르게 동력을 잃으며 연간 매출액 전망 하향과 동시에 2020년 연 초 주가로 하락한 줌 비디오 커뮤니케이션, 캐시 우드의 운용사 내 2개 펀드가 이 주식을 6,825억 달러 규모로 매수함.
Cathie Wood bought Zoom Video Communications Inc’s shares as they tumbled to levels seen before the stock’s meteoric rise during the pandemic. Two Ark Investment Management LLC funds bought more than 800,000 shares on Tuesday, which were worth $68.25 million as of the day’s close, according to Ark’s daily trading data compiled by Bloomberg. The buying marked Ark’s first purchase of the video-conferencing company’s shares in three months. Zoom plunged 17% to a closing price last seen in January 2020 after the firm cut its annual revenue forecast. Once a key pandemic beneficiary, the firm has been struggling as workplaces reopen, and said it’s losing sales from consumers and small business faster than anticipated.
Cathie Wood bought Zoom Video Communications Inc’s shares as they tumbled to levels seen before the stock’s meteoric rise during the pandemic. Two Ark Investment Management LLC funds bought more than 800,000 shares on Tuesday, which were worth $68.25 million as of the day’s close, according to Ark’s daily trading data compiled by Bloomberg. The buying marked Ark’s first purchase of the video-conferencing company’s shares in three months. Zoom plunged 17% to a closing price last seen in January 2020 after the firm cut its annual revenue forecast. Once a key pandemic beneficiary, the firm has been struggling as workplaces reopen, and said it’s losing sales from consumers and small business faster than anticipated.
Bottom-line: 신흥국 주식은 선진국 주식 대비 오를 때 덜 오르고, 빠질 때 더 빠졌으나, 아래로 더 남았다고 주장함.
Emerging-market stocks missed out on the third-quarter equity bounce, but they’re not missing out on the retreat. They may have further to fall as the stuttering global economy drags down earnings while Federal Reserve tightening draws money to dollar assets. While the MSCI World Index of developed-nation equities climbed almost 12% since the start of the quarter to an August 16 high, the equivalent EM gauge added just 1.4%. Since then, the World Index is down just under 3%, while the EM index has dropped 4.1%. As a result, EM stocks are now the cheapest in two decades relative to developed-nation equities. You’d have to go back to the deflation of the dotcom bubble, and the Asian crisis before that, to find similar levels.
Emerging-market stocks missed out on the third-quarter equity bounce, but they’re not missing out on the retreat. They may have further to fall as the stuttering global economy drags down earnings while Federal Reserve tightening draws money to dollar assets. While the MSCI World Index of developed-nation equities climbed almost 12% since the start of the quarter to an August 16 high, the equivalent EM gauge added just 1.4%. Since then, the World Index is down just under 3%, while the EM index has dropped 4.1%. As a result, EM stocks are now the cheapest in two decades relative to developed-nation equities. You’d have to go back to the deflation of the dotcom bubble, and the Asian crisis before that, to find similar levels.