Market Reaction: 2년래 가장 큰 폭의 소매판매 증가에 따라 중앙은행이 금리인상을 지속해야 할 당위성을 준다고 해석함.
US retail sales rose in January by the most in nearly two years, signaling robust consumer demand that could bolster the Federal Reserve’s resolve to keep raising interest rates in the face of persistent inflation.
US retail sales rose in January by the most in nearly two years, signaling robust consumer demand that could bolster the Federal Reserve’s resolve to keep raising interest rates in the face of persistent inflation.
Bottom-line: 소매판매 지표가 발표 된 뒤 국채 매도가 쏟아졌음. 2주 전 대비 50bp 이상 상승한 미국 국채 2년물 금리는 4.72%를 앞두고 있으며, 이는 채권 거래자들이 중앙은행의 정책금리 점도표에 항복하기 직전 수준이라는 의미임. 또한 2년물 국채금리의 상승으로 인해 10년 국채금리보다 2년 국채금리가 90bp 이상 높은 역전현상을 잠시 보였었음.
After Fed officials floated the idea of an even higher terminal rate, and retail sales came in hotter than expected, Treasuries have sold off. The two-year Treasury yield has leapt past 4.68% this morning after beginning the month of February more than 50 basis points lower two weeks ago. This has increased the 2s10s inversion to a cycle high greater than 90 basis points. 4.72% is still the level to watch for complete market capitulation to the Fed.
After Fed officials floated the idea of an even higher terminal rate, and retail sales came in hotter than expected, Treasuries have sold off. The two-year Treasury yield has leapt past 4.68% this morning after beginning the month of February more than 50 basis points lower two weeks ago. This has increased the 2s10s inversion to a cycle high greater than 90 basis points. 4.72% is still the level to watch for complete market capitulation to the Fed.
Bottom-line: 최근 발표 된 경제지표들은 예상을 크게 뛰어넘었던 고용창출과 궤를 같이하며, 금리인상 주기 속에서도 성장이 훼손되지 않을 수 있단 기대를 줌. 좋은 결과의 경제 지표에 주식은 중앙은행이 금리를 더 올려야 한단 우려로 하락했지만, 이내 상승 마감했음. 특히 중앙은행이 금리를 올리면서 인플레이션을 둔화시키는 동시에 경제성장률을 지상에 착륙하지 않게 관리할 수 있단 믿음이 국채 수익률 곡선의 역전(10년물 국채 금리가 2년물 국채 금리보다 -92bp 역전)을 다시 가파른 기울기로 회복 시키는 동안에는, 주식 또한 상승을 이어갈 것임.
While inflation on Tuesday was mostly in line with estimates, Wednesday’s data dump contained some big surprises, and confirmed the picture painted in the January jobs report of a US economy that’s doing far better than you’d expect at this stage of a hiking cycle. Stocks tumbled initially, but recovered throughout the day, closing in the green. The idea that there might not be any landing, soft or otherwise, is gaining strength. With the end of the Fed’s cycle in sight, any market narrative can only be trusted until the next chunk of data comes out. But as long as the numbers appear to support the idea that inflation is slowing and the Fed has managed, somehow, not to break the economy, then we can expect stocks to continue their rally, while the yield curve looks for excuses to re-steepen. The market’s initial reaction to the better-than-forecast retail sales data was that it would enable the Fed to raise rates further and was therefore a bad thing. The S&P 500 fell as much as 0.8% shortly after the open, and the 2s10s yield curve fell to nearly -92 bps before rebounding. The yield on two-year Treasuries, which was testing 4% just over two weeks ago, reached 4.7% before dropping back. Stocks then recovered amid hope that growth might survive the hiking cycle.
While inflation on Tuesday was mostly in line with estimates, Wednesday’s data dump contained some big surprises, and confirmed the picture painted in the January jobs report of a US economy that’s doing far better than you’d expect at this stage of a hiking cycle. Stocks tumbled initially, but recovered throughout the day, closing in the green. The idea that there might not be any landing, soft or otherwise, is gaining strength. With the end of the Fed’s cycle in sight, any market narrative can only be trusted until the next chunk of data comes out. But as long as the numbers appear to support the idea that inflation is slowing and the Fed has managed, somehow, not to break the economy, then we can expect stocks to continue their rally, while the yield curve looks for excuses to re-steepen. The market’s initial reaction to the better-than-forecast retail sales data was that it would enable the Fed to raise rates further and was therefore a bad thing. The S&P 500 fell as much as 0.8% shortly after the open, and the 2s10s yield curve fell to nearly -92 bps before rebounding. The yield on two-year Treasuries, which was testing 4% just over two weeks ago, reached 4.7% before dropping back. Stocks then recovered amid hope that growth might survive the hiking cycle.
Bottom-line: 투자자들은 중앙은행이 무엇을 던져도 그것을 이겨 낼 정도로 강한 경제와 기업 지표를 보며 생각을 바꾼 듯 함. 기존에 투자자들은 나쁜 소식들로 인해 중앙은행이 금리인상을 중단하고 나아가 인하에 이를 것이란데 환호했지만, 이제는 2년래 최고 수준의 소매판매나, 시스코가 제시한 기존보다 높은 매출 전망처럼 긍정적 사실을 객관적으로 받아들이기 시작하며 주식시장의 동력으로 생각하는 듯 함.
It seems there’s been enough positive economic surprises this year for equities markets to decide that we are now in an environment where good news is good news. That’s a switch from some of the action around the turn of the year when bad news was welcomed as signaling a rapid pivot by the Federal Reserve away from interest-rate hikes. US retail sales in January jumped by the most in almost two years to add to the drumbeat of reports underscoring the strength of the economy. That also highlights the potential the Fed will step up its efforts to tame inflation. However, investors are looking at the data — along with robust earnings news such as Cisco Systems Inc.’s upbeat revenue forecasts — and deciding the economy may be able to ride out whatever the central bank throws at it. Investors Switch Focus to See Good News in Strong Data.
It seems there’s been enough positive economic surprises this year for equities markets to decide that we are now in an environment where good news is good news. That’s a switch from some of the action around the turn of the year when bad news was welcomed as signaling a rapid pivot by the Federal Reserve away from interest-rate hikes. US retail sales in January jumped by the most in almost two years to add to the drumbeat of reports underscoring the strength of the economy. That also highlights the potential the Fed will step up its efforts to tame inflation. However, investors are looking at the data — along with robust earnings news such as Cisco Systems Inc.’s upbeat revenue forecasts — and deciding the economy may be able to ride out whatever the central bank throws at it. Investors Switch Focus to See Good News in Strong Data.
Docent: 물가지표가 발표된 뒤 주가지수는 변동없이 마감했지만, 변동성 지수는 왜 -7%나 하락했을까? 만기가 24시간도 남지 않은 옵션의 거래는 어떤 영향을 미치고 있는지에 대한 도슨트임.
1) 물가지표가 발표 된 뒤, 시장 참여자들의 반응은 어땠냐 물어본다면, 그 대답은 언제 그 질문을 했는가에 따라 달라질 것임. 지표가 발표 된 직후 시장은 환호했지만, 3시간 30분 뒤 비관했고, 장 종료를 마주하고는 다시 냉정을 찾았기 때문임.
how did equity traders feel about inflation after Tuesday’s consumer price index hit? Depends on when you asked. Everyone was bullish right after it came out. S&P 500 futures soared 1% as traders decided disaster had been avoided. Three and a half hours later, that optimism had evaporated: the index was down 1%. By the close stocks were back where they started, marking the third time they’d swung so widely this month alone.
how did equity traders feel about inflation after Tuesday’s consumer price index hit? Depends on when you asked. Everyone was bullish right after it came out. S&P 500 futures soared 1% as traders decided disaster had been avoided. Three and a half hours later, that optimism had evaporated: the index was down 1%. By the close stocks were back where they started, marking the third time they’d swung so widely this month alone.
2) 중앙은행의 정책 방향에 대한 추측이 난무하고 경제가 침체에 이를지 혹은 극복할지에 대해 서로 다른 이야기들로 대립하는 상황에서 만기가 24시간도 남지 않은 옵션 거래는 이에 대한 판단을 더욱 어렵게 만들고 있음.
Granted, the wild swings reflected conflicting narratives at a time when the path of Fed policy and economic growth remains very hard to track. While Tuesday’s inflation data reinforced the bear case that interest rates will stay higher than longer, it also fed an argument that the economy will avoid a recession. Yet the proliferation of 0DTE options is likely complicating matters, turning small moves into big ones and inducing violent reversals that make mincemeat of narratives.
Granted, the wild swings reflected conflicting narratives at a time when the path of Fed policy and economic growth remains very hard to track. While Tuesday’s inflation data reinforced the bear case that interest rates will stay higher than longer, it also fed an argument that the economy will avoid a recession. Yet the proliferation of 0DTE options is likely complicating matters, turning small moves into big ones and inducing violent reversals that make mincemeat of narratives.
3) '0DTE(zero-day-to-expire)' 옵션은 2022년 중순부터 인기를 얻은 거래 수단이 되었으며, 파생상품이 그 기초자산을 되려 끌고 움직이게 만드는 현상을 강화했음. 이처럼 만기가 극단적으로 짧은 옵션은 특정 이벤트를 앞두고 포트폴리오의 위험을 방어하기 위한 수단으로 사용되며, 이벤트 발표 때 생각했던 위험이 발생하지 않으면 즉시 그 옵션을 청산하면서 파생상품의 기초자산이 회복하는 과정을 증폭시킴. 물가지표 발표 시기 S&P 500 지수가 -0.03%로 거의 제자리에 끝났지만, 변동성 지수가 -7% 하락한 것도 이와 같은 원인 때문임.
These contracts, with shelf lives shorter than 24 hours, comprise a category known as zero-day-to-expire options that have exploded since mid-2022, at times causing derivatives to amplify moves in underlying assets. Single-day options are also part of hedging strategies that may be exacerbating moves when news breaks. When the worst didn’t happen, these hedges were unwound, helping propel a recovery in futures. It’s partly why the Cboe Volatility Index, or VIX, dropped 7% in a seemingly outsize reaction in a market when the S&P 500 ended the session basically flat.
These contracts, with shelf lives shorter than 24 hours, comprise a category known as zero-day-to-expire options that have exploded since mid-2022, at times causing derivatives to amplify moves in underlying assets. Single-day options are also part of hedging strategies that may be exacerbating moves when news breaks. When the worst didn’t happen, these hedges were unwound, helping propel a recovery in futures. It’s partly why the Cboe Volatility Index, or VIX, dropped 7% in a seemingly outsize reaction in a market when the S&P 500 ended the session basically flat.
4) 골드만삭스의 분석에 따르면, 최근 S&P 500의 거래에서 40% 이상이 24시간 미만의 만기를 가진 옵션으로 인해 발생하는 것으로 추정하고 있음. 제이피모건에 따르면, 이러한 하루가 되지 않는 만기의 옵션이 지수를 움직일 수 있는 범위는 -0.6%에서 +1.1% 사이라고 함. 이는 옵션을 거래하는 투자자의 반대편에 있는 딜러 때문인데, 투자자가 옵션을 거래하면 그에 상응하는 기초자산을 시장중립 포지션을 유지하기 위해 딜러가 거래해야 하기 때문임.
Taken up first by retail traders during the 2021 meme mania, 0DTE options have gained popularity among big money managers. During the second half of 2022, such options made up more than 40% of the S&P 500’s total trading volume, data compiled by Goldman Sachs Group Inc. show. That’s almost double from six months ago. In a study by JPMorgan Chase & Co. in November, strategists including Peng Cheng found that the market impact from those trades can vary from a drag of as much as 0.6% to a boost of up to 1.1%. The group at the center of it all is options dealers, who take the other side of trades and must buy and sell stocks to keep a market-neutral stance. As options traders rush to buy calls to catch up with a market rally, those purchases theoretically force dealers to snap up stocks. The same happens in reverse.
Taken up first by retail traders during the 2021 meme mania, 0DTE options have gained popularity among big money managers. During the second half of 2022, such options made up more than 40% of the S&P 500’s total trading volume, data compiled by Goldman Sachs Group Inc. show. That’s almost double from six months ago. In a study by JPMorgan Chase & Co. in November, strategists including Peng Cheng found that the market impact from those trades can vary from a drag of as much as 0.6% to a boost of up to 1.1%. The group at the center of it all is options dealers, who take the other side of trades and must buy and sell stocks to keep a market-neutral stance. As options traders rush to buy calls to catch up with a market rally, those purchases theoretically force dealers to snap up stocks. The same happens in reverse.