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.
This media is not supported in your browser
VIEW IN TELEGRAM
Did you know that some whales create bubble nets to catch their food? 🐋
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.
Bottom-line: 옵션 거래 속에 그 의도를 분명히 파악하기란 불가능에 가까움. 다만, 소수의 거래자들이 유동성이 적은 일부 주식에 대한 거래가 아니라 거래대금으로 구분했을 때 가장 규모있는 거래자들의 집단적 움직임은 주시의 대상임. 이들은 최근 개별주식의 풋 옵션을 100억 달러 이상 매수하면서 최대 거래 기록을 세움. 이 거래량만 놓고 보자면 심각하고 급격한 하락을 보였던 역사적 최악의 시기를 대비하는 그것과 다름이 없어보임.
With a lumbering bear market whipping up volatility, the biggest traders are wringing stock options for all they’re worth. The largest players on the options market bought more than $10 billion in puts on individual stocks last week, a record for that group and close to the most ever by any cohort of traders, according to Sundial Capital Research. The rush for protection came as the S&P 500 slumped into the weekend and the Cboe Volatility Index spiked above 32 to the highest level since June. Discerning a clear signal from any such action in the options market is nearly impossible. The flurry of buying could have been a straight grab for protection against further equity losses or an attempt to exploit anomalies opening up as markets lurch from one massive move to the next. But the sheer volume is another indication that markets in 2022 have started trading in ways comparable to some of the worst periods in recent history. “If the trades are due to relatively few trades on a few stocks, e.g. a part of some huge complicated arbitrage or other strategy,” then there might be no takeaway from the data, Jason Goepfert, chief research officer at Sundial, said. “It doesn’t seem to be the case, though, so the suggestion is that they are betting very heavily on a severe, sudden decline.”
With a lumbering bear market whipping up volatility, the biggest traders are wringing stock options for all they’re worth. The largest players on the options market bought more than $10 billion in puts on individual stocks last week, a record for that group and close to the most ever by any cohort of traders, according to Sundial Capital Research. The rush for protection came as the S&P 500 slumped into the weekend and the Cboe Volatility Index spiked above 32 to the highest level since June. Discerning a clear signal from any such action in the options market is nearly impossible. The flurry of buying could have been a straight grab for protection against further equity losses or an attempt to exploit anomalies opening up as markets lurch from one massive move to the next. But the sheer volume is another indication that markets in 2022 have started trading in ways comparable to some of the worst periods in recent history. “If the trades are due to relatively few trades on a few stocks, e.g. a part of some huge complicated arbitrage or other strategy,” then there might be no takeaway from the data, Jason Goepfert, chief research officer at Sundial, said. “It doesn’t seem to be the case, though, so the suggestion is that they are betting very heavily on a severe, sudden decline.”
Macro Trader
Bottom-line: 옵션 거래 속에 그 의도를 분명히 파악하기란 불가능에 가까움. 다만, 소수의 거래자들이 유동성이 적은 일부 주식에 대한 거래가 아니라 거래대금으로 구분했을 때 가장 규모있는 거래자들의 집단적 움직임은 주시의 대상임. 이들은 최근 개별주식의 풋 옵션을 100억 달러 이상 매수하면서 최대 거래 기록을 세움. 이 거래량만 놓고 보자면 심각하고 급격한 하락을 보였던 역사적 최악의 시기를 대비하는 그것과 다름이 없어보임. With a lumbering…
백억 달러를 백만으로 적었는데... 백만달러도 큰 규모로 생각해서 아무도 오타를 알려주지 않은 것일까.
$10bil = 14조원 규모의 풋 옵션 매수임.
$10bil = 14조원 규모의 풋 옵션 매수임.
Bottom-line: 한국 10일 수출 데이터가 전년 대비 -20.2%로 큰 폭 부진했음. 적자폭 또한 38억 달러로 확대됐음. 이 뉴스에 원화에 대한 매도가 이어졌지만, 계절조정을 거칠 경우 전월 대비로는 -1.6% 감소임.
South Korea’s 10-day exports experienced a large y/y slump on a headline basis, and the trade deficit widened to $3.8b from $2.4b from the corresponding period. Korean won NDFs sold off on the news. The read across to global activity is also negative, with these numbers 36% correlated with US ISM in changes terms. That said, the underlying export numbers are not quite as bad as the headline suggests. The day-count and seasonally adjusted series fell only -1.6% m/m, according to my calculation, a mere 0.2 standard deviation decline for this extremely volatile series.
South Korea’s 10-day exports experienced a large y/y slump on a headline basis, and the trade deficit widened to $3.8b from $2.4b from the corresponding period. Korean won NDFs sold off on the news. The read across to global activity is also negative, with these numbers 36% correlated with US ISM in changes terms. That said, the underlying export numbers are not quite as bad as the headline suggests. The day-count and seasonally adjusted series fell only -1.6% m/m, according to my calculation, a mere 0.2 standard deviation decline for this extremely volatile series.
Bottom-line: 24조원에 달하는 미국 국채시장의 거대한 매수자들이 모두 등을 돌리고 있음. 일본 연금펀드에서부터 생명보험사, 외국 정부에 이르기까지 미국 국채에 의존하던 그들이 물러서기 시작하는 와중에 중앙은행 또한 매도자로 바뀐 상태임. 이들 중 한 두곳만 확실한 수요자가 되어준다면 모르겠으나, 높은 변동성과 악화 된 유동성, 낮은 입찰률이 모두가 후퇴하는 상황에 우려를 키우고 있음. 1970년대 이후 가장 큰 폭 하락한 국채 가격에도 불구 새로운 구매자가 나타나고 있지 않기에 더 많은 고통이 있을 것이란 뜻임. 새로운 구매자가 누가 어느 순간 진입할지 알 수 없지만, 그들은 분명 가격에 더욱 민감한 상태일 것임.
Everywhere you turn, the biggest players in the $23.7 trillion US Treasuries market are in retreat. From Japanese pensions and life insurers to foreign governments and US commercial banks, where once they were lining up to get their hands on US government debt, most have now stepped away. And then there’s the Federal Reserve, which a few weeks ago upped the pace that it plans to offload Treasuries from its balance sheet to $60 billion a month. If one or two of these usually steadfast sources of demand were bailing, the impact, while noticeable, would likely be little cause for alarm. But for every one of them to pull back is an undeniable source of concern, especially coming on the heels of the unprecedented volatility, deteriorating liquidity and weak auctions of recent months. The upshot, according to market watchers, is that even with Treasuries tumbling the most since at least the early 1970s this year, more pain may be in store until new, consistent sources of demand emerge. It’s also bad news for US taxpayers, who will ultimately have to foot the bill for higher borrowing costs. “We need to find a new marginal buyer of Treasuries as central banks and banks overall are exiting stage left,” said Glen Capelo, who spent more than three decades on Wall Street bond-trading desks and is now a managing director at Mischler Financial. “It’s still not clear yet who that will be, but we know they’re going to be a lot more price sensitive.”
Everywhere you turn, the biggest players in the $23.7 trillion US Treasuries market are in retreat. From Japanese pensions and life insurers to foreign governments and US commercial banks, where once they were lining up to get their hands on US government debt, most have now stepped away. And then there’s the Federal Reserve, which a few weeks ago upped the pace that it plans to offload Treasuries from its balance sheet to $60 billion a month. If one or two of these usually steadfast sources of demand were bailing, the impact, while noticeable, would likely be little cause for alarm. But for every one of them to pull back is an undeniable source of concern, especially coming on the heels of the unprecedented volatility, deteriorating liquidity and weak auctions of recent months. The upshot, according to market watchers, is that even with Treasuries tumbling the most since at least the early 1970s this year, more pain may be in store until new, consistent sources of demand emerge. It’s also bad news for US taxpayers, who will ultimately have to foot the bill for higher borrowing costs. “We need to find a new marginal buyer of Treasuries as central banks and banks overall are exiting stage left,” said Glen Capelo, who spent more than three decades on Wall Street bond-trading desks and is now a managing director at Mischler Financial. “It’s still not clear yet who that will be, but we know they’re going to be a lot more price sensitive.”