Bottom-line: 트러스, 그녀가 온 지 이제 한달, 그러나 크리스마스에도 함께 할 수 있을지 의문이며, 심지어 보리스 존슨의 복귀에 베팅하는 쪽이 있을 정도로 리더십에 큰 흠이 난 것으로 보임.
Only four weeks into her leadership, all the talk at the Conservative Party conference in Birmingham this week was whether UK prime minister Liz Truss will survive until Christmas. Perhaps that’s par for the course. The Tories are often said to have only two settings: complacency and panic. And panic is now the order of the day. Can Truss restore calm? The markets barely reacted in the wake of her first keynote speech on Wednesday — a blessing after last week’s hair-raising ride. But only when Parliament opens next week will she find out whether her MPs give a hearing to her persistent gospel of “growth, growth, growth.” Having listened to the chatter in the conference bars and corridors, the omens look bleak. Another monthslong leadership election, so soon after the last, would surely test the patience of voters. However, following the disastrous reception of Chancellor of the Exchequer Kwasi Kwarteng’s mini-budget last week, there is even speculation that Boris Johnson could stage a comeback to save his party.
Only four weeks into her leadership, all the talk at the Conservative Party conference in Birmingham this week was whether UK prime minister Liz Truss will survive until Christmas. Perhaps that’s par for the course. The Tories are often said to have only two settings: complacency and panic. And panic is now the order of the day. Can Truss restore calm? The markets barely reacted in the wake of her first keynote speech on Wednesday — a blessing after last week’s hair-raising ride. But only when Parliament opens next week will she find out whether her MPs give a hearing to her persistent gospel of “growth, growth, growth.” Having listened to the chatter in the conference bars and corridors, the omens look bleak. Another monthslong leadership election, so soon after the last, would surely test the patience of voters. However, following the disastrous reception of Chancellor of the Exchequer Kwasi Kwarteng’s mini-budget last week, there is even speculation that Boris Johnson could stage a comeback to save his party.
Bottom-line: 전반적인 인생도, 금융시장도 누구에게 조언을 받는지가 중요함. 매 분기 찾아오는 실적발표 또한 그런데, 우리는 경영진이 무엇을 말하는지 그다지 신경 쓸 필요가 없음. 노무라의 자연어 처리를 통한 감정분석 포트폴리오는 둘은, 차라리 애널리스트가 어떤 질문을 던지는지에 관심을 둬야 한다고 함. 경영진의 발언을 통한 감정분석 매수/매도 포트폴리오 보다 애널리스트의 질문을 통한 감정분석 매수/매도 포트폴리오가 더 나은 성과를 냈고, 이는 애널리스트가 편향이 덜하고 더 현실적이라 그렇다고 봤음.
As ever, in financial markets and broadly in life, it matters from whom you get your advice. And that means that, contrary to intuition, it could be less worthwhile to listen to what executives say in earnings calls, and instead take account of the questions they are being asked. To see why, watch the performance of two long-short portfolios constructed by Nomura. One is based on the remarks of company management and the other on questions from analyst during earnings calls. These calls, which happen once per quarter, are listened to by investors, reporters, analysts and, for some companies, even retail traders. It’s a chance for executives to either defend their results or grandstand, and for shareholders to ask about the profound or mundane. As the trannoscripts are published, they also provide a golden opportunity for Big Data, sifting through them for patterns that quants can use to invest. In using natural-language processing — technology that allows computers to understand the ways in which humans read and write — to comb through trannoscripts, Nomura found that the analyst sentiment portfolio performed better than the management sentiment portfolio. Why? Strategists led by Joseph Mezrich posit that it could be for the simple fact that analysts are less biased than management, which means their sentiment more closely reflects reality.
As ever, in financial markets and broadly in life, it matters from whom you get your advice. And that means that, contrary to intuition, it could be less worthwhile to listen to what executives say in earnings calls, and instead take account of the questions they are being asked. To see why, watch the performance of two long-short portfolios constructed by Nomura. One is based on the remarks of company management and the other on questions from analyst during earnings calls. These calls, which happen once per quarter, are listened to by investors, reporters, analysts and, for some companies, even retail traders. It’s a chance for executives to either defend their results or grandstand, and for shareholders to ask about the profound or mundane. As the trannoscripts are published, they also provide a golden opportunity for Big Data, sifting through them for patterns that quants can use to invest. In using natural-language processing — technology that allows computers to understand the ways in which humans read and write — to comb through trannoscripts, Nomura found that the analyst sentiment portfolio performed better than the management sentiment portfolio. Why? Strategists led by Joseph Mezrich posit that it could be for the simple fact that analysts are less biased than management, which means their sentiment more closely reflects reality.
Bottom-line: 포르쉐의 시가총액이 상장 일주일만에 모회사인 폭스바겐의 시가총액을 추월함. 또한 유럽 내 자동차 상장주식 중 가장 큰 시가총액으로 자리 잡았음. 참고로 폭스바겐은 연간 천만대의 자동차를 만들지만, 포르쉐는 연간 30만대를 인도함.
Porsche AG became Europe’s most valuable automaker a week after its initial public offering when its market capitalization overtook parent Volkswagen AG. The German sports-car maker’s preferred shares were up 3.3% at 90.78 euros at 1:02 p.m. in Frankfurt, giving it a market value of 82.7 billion euros ($81.7 billion) to edge past Volkswagen’s valuation of 78.1 billion euros. VW sells some 10 million vehicles in a typical year compared to Porsche’s 300,000 deliveries. Europe’s largest carmaker by revenue last week raised 9.4 billion euros when Porsche, one of the group’s key profit contributors, returned to the stock market in what was the region’s biggest listing in a decade since miner Glencore Plc.
Porsche AG became Europe’s most valuable automaker a week after its initial public offering when its market capitalization overtook parent Volkswagen AG. The German sports-car maker’s preferred shares were up 3.3% at 90.78 euros at 1:02 p.m. in Frankfurt, giving it a market value of 82.7 billion euros ($81.7 billion) to edge past Volkswagen’s valuation of 78.1 billion euros. VW sells some 10 million vehicles in a typical year compared to Porsche’s 300,000 deliveries. Europe’s largest carmaker by revenue last week raised 9.4 billion euros when Porsche, one of the group’s key profit contributors, returned to the stock market in what was the region’s biggest listing in a decade since miner Glencore Plc.
Bottom-line: 1929년 이후 최악의 약세 시장에 있지만, 생각과 다르게 하락에 대한 보험적 수요는 줄어들고 있음. 다르게 말하면, 중앙은행이 시장을 구해줄 것으로 기대하고 있음.
The current bear market is among the worst since 1929. Today’s bear is consistent with previous stock slumps that have coincided with a recession. But curiously, the demand for crash insurance has been falling, not rising as you’d expect. It seems the market is anticipating that the lower prices get, the less chance they have of going even lower -- in other words, the Fed put is getting closer. Market Expects a Recession and a Fed Rescue.
The current bear market is among the worst since 1929. Today’s bear is consistent with previous stock slumps that have coincided with a recession. But curiously, the demand for crash insurance has been falling, not rising as you’d expect. It seems the market is anticipating that the lower prices get, the less chance they have of going even lower -- in other words, the Fed put is getting closer. Market Expects a Recession and a Fed Rescue.
US stocks responded by declining, as traders await Friday's jobs report. The gain in nonfarm payrolls probably eased to 250,000 in September, analysts estimate. On Thursday, jobless claims surprised on upside, but remained consistent with a strong labor market. The dollar and Treasury yields gained, as did oil.
Bottom-line: 목요일 파생상품 시장의 가장 주목할만한 거래는 내년 3월 S&P 500 변동성 지수가 150에 달할 것에 베팅하며 95만불의 변동성 지수를 기초자산으로 하는 콜 옵션 블락딜이 진행된 것임. 이 거래는 150 행사가의 콜 옵션의 델타가 현재 낮은 수준이라 향후 심각한 시장 충격이 올 경우 저렴한 비용으로 위험을 헤지한 것임. 또한 이 옵션은 변동성 지수가 150에 도달하지 않아도, 변동성 지수(VIX) 및 해당 지수의 변동성(VVIX)이 동시에 오른다면 프리미엄 대비 5~10배의 수익을 거둘 수 있음. 참고로, 이 옵션의 만기까지 네번의 금리결정과 여섯번의 물가지표 발표가 남음.
Uncertainty about the upcoming jobs report pushed the Cboe Volatility Index, or VIX, to close above 30 on Thursday. And someone is wagering that it won’t stop there. Shortly before the market closed, a trader bet that the VIX could increase to 150 by late March. Through a series of block trades, the trader -- most likely one person, according to market participants -- bought 50,000 call options, paying $950,000. It was the most-active VIX options contract Thursday. “It may be seen as a cheap way to hedge if we see another significant crash,” said Michael Beth, director of trading at WallachBeth Capital. “While the contract has low delta now, if things move quickly, we can see the value of the contract significantly increase.”. Between now and March 22 when the contracts expire, investors face a slew of potentially market-moving events, like four interest-rate announcements and six inflation prints. The buyer of the contracts could be in a situation where he needs to have a hedge that can serve as protection in a panic scenario, should one occur, according to Chris Murphy, co-head of derivatives strategy at Susquehanna International Group. “This tail hedge doesn’t need the VIX to actually get close to 150,” Murphy said. “But if VIX and VVIX both spike, the value of these calls could grow five-10 fold just due to the Vega.”.
Uncertainty about the upcoming jobs report pushed the Cboe Volatility Index, or VIX, to close above 30 on Thursday. And someone is wagering that it won’t stop there. Shortly before the market closed, a trader bet that the VIX could increase to 150 by late March. Through a series of block trades, the trader -- most likely one person, according to market participants -- bought 50,000 call options, paying $950,000. It was the most-active VIX options contract Thursday. “It may be seen as a cheap way to hedge if we see another significant crash,” said Michael Beth, director of trading at WallachBeth Capital. “While the contract has low delta now, if things move quickly, we can see the value of the contract significantly increase.”. Between now and March 22 when the contracts expire, investors face a slew of potentially market-moving events, like four interest-rate announcements and six inflation prints. The buyer of the contracts could be in a situation where he needs to have a hedge that can serve as protection in a panic scenario, should one occur, according to Chris Murphy, co-head of derivatives strategy at Susquehanna International Group. “This tail hedge doesn’t need the VIX to actually get close to 150,” Murphy said. “But if VIX and VVIX both spike, the value of these calls could grow five-10 fold just due to the Vega.”.
Bottom-line: 바이든 대통령이 중국이 대만을 침공할 시에 미국 군사력을 행사하겠다고 명확히 함. 이는 첨단 반도체 산업, 특히 TSMC에 치명적이며, 최악의 경우 미국은 기술력이 집대성 된 기술 인력들을 철수시킬 것이라 함. 중국의 대만 침공과 그에 따른 TSMC 손실의 경제 비용은 1조 달러로, 연간 전체 반도체 산업 매출액의 두 배임.
President Joe Biden has been explicit in vowing to commit US forces in the event of a Chinese attack on Taiwan. The question occupying US and Taiwanese officials is the fate of the island’s flagship semiconductor industry. Contingency planning for a potential assault on Taiwan has been stepped up after Russia’s invasion of Ukraine, according to people familiar with the Biden administration’s deliberations. The scenarios attach heightened strategic significance to the island’s cutting-edge chip industry, led by Taiwan Semiconductor Manufacturing Co. In the worst case, they say, the US would consider evacuating Taiwan’s highly skilled chip engineers. Estimates by the US National Security Council project that a Chinese invasion and the loss of TSMC could disrupt the world economy to the tune of more than $1 trillion, around twice the value of the entire semiconductor industry’s annual global sales.
President Joe Biden has been explicit in vowing to commit US forces in the event of a Chinese attack on Taiwan. The question occupying US and Taiwanese officials is the fate of the island’s flagship semiconductor industry. Contingency planning for a potential assault on Taiwan has been stepped up after Russia’s invasion of Ukraine, according to people familiar with the Biden administration’s deliberations. The scenarios attach heightened strategic significance to the island’s cutting-edge chip industry, led by Taiwan Semiconductor Manufacturing Co. In the worst case, they say, the US would consider evacuating Taiwan’s highly skilled chip engineers. Estimates by the US National Security Council project that a Chinese invasion and the loss of TSMC could disrupt the world economy to the tune of more than $1 trillion, around twice the value of the entire semiconductor industry’s annual global sales.
Market Implication: 지금 극단의 공포를 회피하기 위한 대규모 헤지 거래를 하는 사람들은 어리석은 것일까? 아마도 최고점 대비 하락한 가격 폭만 보고 있다면 그럴 수 있음. 지각과 현실의 차이를 확인해보자면, 크레디트 스위스가 고안한 공포 지수가 2008년 이후 가장 낮고, 희박한 발생 확률의 위험을 헤지하는 비용의 척도인 왜도 지수 또한 2020년 1분기 저점에서 그리 멀리 떨어져있지 않음. 즉, 큰 폭의 가격 움직임에 대한 헤지 수요가 의미있게 증가한 증거가 없음. 또한 거래자들이 포트폴리오에서 이미 위험자산을 상당히 제거하고, 레버리지 비율을 축소한 것으로 보이지만, 이것이 현재 지점에서 상승해야 한다는 의미는 아님. 씨티의 계량분석 자료가 지적했듯이 미국 증시는 이제서야 침체를 가격에 반영하기 시작했음.
A doomsday bet on the US stock market had option traders chins wagging Thursday, but the reality is there is little evidence of an increase in demand for protection against massive price swings. The CBOE Skew Index, which tracks the cost of tail-risk equity protection, is not far off its lowest since 2020. Credit Suisse’s Fear Barometer -- a gauge of investor sentiment derived from the options market -- hit its lowest since 2008 just last month. While counter-intuitive given the expectation that a global recession is looming, that could well be a sign traders have already deleveraged and taken their riskiest positions off the table. Still, that doesn’t mean it’s a signal that shares will necessarily rise from here -- US equities have only just begun to price in a US downturn, as Citigroup’s quant strategists reminded us this week.
A doomsday bet on the US stock market had option traders chins wagging Thursday, but the reality is there is little evidence of an increase in demand for protection against massive price swings. The CBOE Skew Index, which tracks the cost of tail-risk equity protection, is not far off its lowest since 2020. Credit Suisse’s Fear Barometer -- a gauge of investor sentiment derived from the options market -- hit its lowest since 2008 just last month. While counter-intuitive given the expectation that a global recession is looming, that could well be a sign traders have already deleveraged and taken their riskiest positions off the table. Still, that doesn’t mean it’s a signal that shares will necessarily rise from here -- US equities have only just begun to price in a US downturn, as Citigroup’s quant strategists reminded us this week.
Nonfarm payrolls increased 263,000 in September -- the smallest monthly advance since April 2021 -- after a 315,000 gain in August, a Labor Department report showed Friday. The unemployment rate unexpectedly dropped to 3.5%, matching a five-decade low. Average hourly earnings rose firmly.
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Bottom-line: 투기등급 채권 내에서 등급 간 수익률 차이가 확대되고 있음. 이는 CCC 등급의 회사채가 지불불능의 사태에 빠질 수 있다는 우려를 나타냄. 상황은 투자등급 채권도 다르지 않은데, 마찬가지 등급 간 수익률 차이가 확대되며 투자등급 채권이 투기등급으로 떨어지는 '추락한 천사'가 될 염려가 녹아있음.
Credit markets faded the week’s rally after payrolls data left bonds increasingly exposed to downgrades and defaults as the Fed stays hawkish. The gap between higher and lower rated bonds is widening as funding costs surge and earnings weaken. The rising tide from last week’s highly stressed credit market levels didn’t lift all boats. A stubborn gulf between CCC spreads and the next rating tier up highlights investor fears that those bonds won’t pay back. In investment grade, the gap between AA and A rated debt remains stretched on fears that lower-rated bonds will slip to BBB, where funding costs -- and the risk of falling to junk -- are elevated. High-grade downgrades are seen accelerating as the economy slows, leaving investors taking cover in better quality bonds.
Credit markets faded the week’s rally after payrolls data left bonds increasingly exposed to downgrades and defaults as the Fed stays hawkish. The gap between higher and lower rated bonds is widening as funding costs surge and earnings weaken. The rising tide from last week’s highly stressed credit market levels didn’t lift all boats. A stubborn gulf between CCC spreads and the next rating tier up highlights investor fears that those bonds won’t pay back. In investment grade, the gap between AA and A rated debt remains stretched on fears that lower-rated bonds will slip to BBB, where funding costs -- and the risk of falling to junk -- are elevated. High-grade downgrades are seen accelerating as the economy slows, leaving investors taking cover in better quality bonds.
Ben S. Bernanke, Douglas W. Diamond and Philip H. Dybvig were awarded the 2022 Nobel Prize in economic sciences “for research on banks and financial crises.”. The three will share the 10 million-kronor ($900,000) award, the Royal Swedish Academy of Sciences said in Stockholm on Monday.
Bottom-line: 역사를 돌아보면, 통화정책의 갑작스러운 선회(1998년 LTCM, 2008년 금융위기, 2020년 바이러스 대확산)는 거시경제 지표의 악화가 아니라 극단의 사건에 따라 발생했음. 악명으로 남은 2018년 파월의 잘못 된 정책 선회는 중앙은행이 시장에 정책을 전달하는데 어려움을 가중시키고, 자신들의 정책을 증명하는데 더 높은 금리인상을 해야 하는 상황을 만들었음. 시장 참여자들이 정책 선회에 베팅할 때 가장 큰 문제는, 중앙은행이 원하는 수준까지 자산가치가 하락하지 못한다는 점이며, 그 경우 금융환경 자체가 완화적인 상태에 머무른다는 것임.
History’s clear pivots (after the Long-Term Capital Management crisis in 1998; in 2008 as the credit crisis grew extreme; and in the desperate hours of the Covid shutdown in March 2020) have been driven by extreme events, and not by deteriorating macro numbers. And in general, a pivot is not exactly a consummation devoutly to be wished. Changes in the macro lead to changes in policy, but both tend to be gradual. The infamous “Powell Pivot” of late 2018, when the Fed was bullied into changing course by a savage December stock selloff, may be most to blame. It fostered the impression that this Fed would turn on a dime. That earlier pivot has made it harder for the Fed to convince markets of its intentions, and may well mean that it has to hike more than it wishes just to prove itself. There is a final problem with betting on a pivot, which is that it makes one less likely. Higher equity valuations contribute to an easing in financial conditions. The Fed is hoping that it can rein in inflation via the means of tighter financial conditions. So each little burst of optimism makes it harder for the central bank to move. Bloomberg’s own measure shows that US financial conditions are now more than one standard deviation tighter than the mean for the last decade, and their tightest in that time — with the very significant exception of March 2020.
History’s clear pivots (after the Long-Term Capital Management crisis in 1998; in 2008 as the credit crisis grew extreme; and in the desperate hours of the Covid shutdown in March 2020) have been driven by extreme events, and not by deteriorating macro numbers. And in general, a pivot is not exactly a consummation devoutly to be wished. Changes in the macro lead to changes in policy, but both tend to be gradual. The infamous “Powell Pivot” of late 2018, when the Fed was bullied into changing course by a savage December stock selloff, may be most to blame. It fostered the impression that this Fed would turn on a dime. That earlier pivot has made it harder for the Fed to convince markets of its intentions, and may well mean that it has to hike more than it wishes just to prove itself. There is a final problem with betting on a pivot, which is that it makes one less likely. Higher equity valuations contribute to an easing in financial conditions. The Fed is hoping that it can rein in inflation via the means of tighter financial conditions. So each little burst of optimism makes it harder for the central bank to move. Bloomberg’s own measure shows that US financial conditions are now more than one standard deviation tighter than the mean for the last decade, and their tightest in that time — with the very significant exception of March 2020.