6) 결론적으로, 노무라증권의 분석가는 이런 옵션 거래들 때문에 미국 시장은 거래가 어려운 혼란 속에 있다고 한 것임.
“US equities are such an untradable mess right now,” McElligott said.
“US equities are such an untradable mess right now,” McElligott said.
7) 제이피모건의 경우 이러한 옵션들의 거래가 변동성을 매우 낮게 만들고 있기 때문에, 2018년 변동성 지수가 큰 폭으로 증가하면서 변동성과 관련 된 투자 상품들을 한 순간에 상장폐지로 쓸어버렸던 일을 다시 한 번 재현할 수 있다고 경고하고 있음. 이 옵션들이 가지는 포지션의 가치는 일간 1조 달러에 달할 정도며, 그의 표현으로는 이 옵션들이 일으킬 수 있는 변동성 폭발 위험은 ‘Volmageddon 2.0’라 부르고 있음.
The explosive rise of short-dated options is creating event risk on the scale of the stock market’s early-2018 volatility implosion, according to JPMorgan Chase & Co.’s Marko Kolanovic. That episode, known as Volmageddon, sparked market chaos exactly five years ago and forced the shuttering of one major volatility-focused exchanged-traded product. The latest proliferation of options with zero days to expiry has similar potential to create market turmoil, the top-ranked strategist says. By his team’s estimate, daily notional volumes in such short-term options — known as 0DTE in industry parlance — is around $1 trillion.
The explosive rise of short-dated options is creating event risk on the scale of the stock market’s early-2018 volatility implosion, according to JPMorgan Chase & Co.’s Marko Kolanovic. That episode, known as Volmageddon, sparked market chaos exactly five years ago and forced the shuttering of one major volatility-focused exchanged-traded product. The latest proliferation of options with zero days to expiry has similar potential to create market turmoil, the top-ranked strategist says. By his team’s estimate, daily notional volumes in such short-term options — known as 0DTE in industry parlance — is around $1 trillion.
Reaction: Stocks extended losses, the dollar turned positive on the session and yields ticked up after higher-than-expected PPI data for January.
Bottom-line: Back to 50-bp Fed hikes?
James Bullard won't rule out supporting a half-percentage-point increase in March, citing "a long battle against inflation." Loretta Mester said she saw a compelling case for a similar move at the FOMC's last meeting, and predicted officials will take the benchmark above 5% "and hold it there for some time." Investors are ramping up bets on how far the Fed will go. Money markets now expect a peak of 5.2% in July, up from 4.9% two weeks ago.
James Bullard won't rule out supporting a half-percentage-point increase in March, citing "a long battle against inflation." Loretta Mester said she saw a compelling case for a similar move at the FOMC's last meeting, and predicted officials will take the benchmark above 5% "and hold it there for some time." Investors are ramping up bets on how far the Fed will go. Money markets now expect a peak of 5.2% in July, up from 4.9% two weeks ago.
Bottom-line: 채권 투자자들은 중앙은행이 50bp 금리인상으로 돌아갈 가능성을 매우 낮게 보고 있음. 두 인사들이 경제지표를 보며 금리인상폭을 다시 높일 수 있단 논란을 만들었지만, 중앙은행은 2월 25bp의 금리인상을 하며 그렇게 할 수 있는 기회와 명분을 이미 멀리 보냈기 때문임. 특히, 중앙은행 인사들이 5.25%의 최종 정책금리를 동의한 마당에, 이유없이 왜 25bp의 적은 인상폭으로 그곳에 도달하는 길을 멀게 만들고 있는가? 생각해 볼 일임. 그럼에도 불구 금리인상폭을 다시 높일 경우, i) 중앙은행이 인플레이션을 통제해가고 있단 설득을 잃고, ii) 경기의 연착륙이란 목표도 포기하는 것이며, iii) 정책의 일관성 상실, iv) 인플레이션이 통제 불가능하다는 공황과 부정적인 상호작용을 반복적으로 만들게 될 것임.
On Thursday afternoon, Federal Reserve Bank of Cleveland President Loretta Mester remarked that she saw a compelling case for a bigger increase earlier this month when policymakers met. Not much later in the day, her colleague James Bullard commented that he would not rule out supporting a 50-basis point hike at the March meeting. Whatever their comments, the Fed’s February move of 25 basis points will remain a missed opportunity to hike more, and it would seem that there is now little chance of reviving such a possibility. By the middle of January, it was clear from Fed officials’ steer that the monetary authority was only considering a 25-basis point increase — an end-of-season folly that is coming to haunt it two weeks after the decision. After all, if an overwhelming majority of policymakers have already penciled in a rate of 5.25%, and all economic participants are working on that assumption, why drag your feet without good reason and prolong getting to the destination? There is little doubt that if the Fed were to have met in the aftermath of January’s non-farm payrolls expansion, resurgent inflation data and stand-out retail sales, it would have probably raised rates by a bigger margin. But having dialed down the pace, it’s too late for the Fed to accelerate again, for that would a) send a message to the markets that policymakers have lost the narrative on inflation; b) that the Fed is abandoning its avowed goal of a soft landing; c) that there is no policy coherence; and d) that the Fed is panicking that inflation is out of control, spurring a negative feedback loop. None of this is lost on the markets. Even in the wake of comments by both Mester and Bullard — notwithstanding the fact that neither is a voter this year — interest-rate traders see a bigger move next month as just a fractional tail risk.
On Thursday afternoon, Federal Reserve Bank of Cleveland President Loretta Mester remarked that she saw a compelling case for a bigger increase earlier this month when policymakers met. Not much later in the day, her colleague James Bullard commented that he would not rule out supporting a 50-basis point hike at the March meeting. Whatever their comments, the Fed’s February move of 25 basis points will remain a missed opportunity to hike more, and it would seem that there is now little chance of reviving such a possibility. By the middle of January, it was clear from Fed officials’ steer that the monetary authority was only considering a 25-basis point increase — an end-of-season folly that is coming to haunt it two weeks after the decision. After all, if an overwhelming majority of policymakers have already penciled in a rate of 5.25%, and all economic participants are working on that assumption, why drag your feet without good reason and prolong getting to the destination? There is little doubt that if the Fed were to have met in the aftermath of January’s non-farm payrolls expansion, resurgent inflation data and stand-out retail sales, it would have probably raised rates by a bigger margin. But having dialed down the pace, it’s too late for the Fed to accelerate again, for that would a) send a message to the markets that policymakers have lost the narrative on inflation; b) that the Fed is abandoning its avowed goal of a soft landing; c) that there is no policy coherence; and d) that the Fed is panicking that inflation is out of control, spurring a negative feedback loop. None of this is lost on the markets. Even in the wake of comments by both Mester and Bullard — notwithstanding the fact that neither is a voter this year — interest-rate traders see a bigger move next month as just a fractional tail risk.
Ken Griffin, Steve Cohen and Izzy Englander, worth about $55 billion combined, took the first three spots in Bloomberg's annual ranking of top-earning hedge fund managers. The newest name was Said Haidar, who raked in $859 million in 2022, placing him sixth. Even so, the $13.8 billion collected by the 15 top-earners was the lowest since 2019. Losers include Tiger Global, Lone Pine and Coatue, who had some of their worst returns ever.
Tiger Global’s public funds shrank in 2022 as its bets on China, tech stocks and private startups backfired after years of blockbuster gains. Scott Shleifer, the firm’s head of private investments, lost $530 million. Bloomberg’s analysis only examined firms’ hedge and long-only funds, not dedicated private equity and venture capital portfolios.
Bloomberg’s previous lists of top hedge fund earners also faced reversals of fortune. D1 Capital’s Dan Sundheim, TCI’s Chris Hohn, Lone Pine Capital’s Stephen Mandel and Viking Global’s Andreas Halvorsen incurred the biggest personal losses last year. What many of those firms have in common: big bets on tech stocks, sometimes including VC investments. Many of the managers started their careers at Julian Robertson’s Tiger Management, earning them the Tiger Cub moniker. Bloomberg’s list excludes those who no longer manage money for external investors. That means Michael Platt isn’t ranked, despite adding $3 billion to his fortune as BlueCrest Capital booked a 153% return.
Bottom-line: 골드만삭스는 1월 말부터 시작 된 중국주식에 대한 매도세가 멈추고, 현재 수준에서 연말까지 MSCI 중국지수 기준 +24%의 추가 상승을 이어갈 것으로 전망함. 중국에 투자하는데 주요 화두는 경제재개에서 경제회복으로 전환될 것이며, 중국의 소비 중심의 성장에 초점을 맞춰야 할 것이라 함.
Goldman Sachs Group Inc. strategists expect the selloff in Chinese stocks since late January to reverse as the nation’s economic reopening delivers windfall profits for businesses. Goldman Sachs see potential for the MSCI China Index to reach 85 by the end of 2023, an increase of about 24% from current levels, according to a note Monday from strategists including Kinger Lau. “The principal theme in the stock market will gradually shift from reopening to recovery, with the driver of the potential gains likely rotating from multiple expansion to earnings growth/delivery,” the strategists said. “The growth impulse should be heavily tilted towards the consumer economy, where services sector is still operating significantly below the 2019 pre-pandemic levels,” they added.
Goldman Sachs Group Inc. strategists expect the selloff in Chinese stocks since late January to reverse as the nation’s economic reopening delivers windfall profits for businesses. Goldman Sachs see potential for the MSCI China Index to reach 85 by the end of 2023, an increase of about 24% from current levels, according to a note Monday from strategists including Kinger Lau. “The principal theme in the stock market will gradually shift from reopening to recovery, with the driver of the potential gains likely rotating from multiple expansion to earnings growth/delivery,” the strategists said. “The growth impulse should be heavily tilted towards the consumer economy, where services sector is still operating significantly below the 2019 pre-pandemic levels,” they added.
Bottom-line: 자본시장에 투자금이 손쉽게 풀리던 시대, 자금 조달과 투자에 널리 사용되던 방법 중 하나가 불행의 중심이 되고 있음. 이자, 세금, 감가상각을 제외하기 전의 수익을 말하는 'Ebitda'인데, 2017년 무디스의 분석가가 이에 대해 조롱을 한 적이 있으며, 한 투자회사의 공동설립자는 이런 가짜 수익 지표가 경기 침체를 더욱 악화시킬 것이라 경고했음. S&P 또한 금리상승, 인플레이션, 경기침체 위험 속에 이러한 수익지표가 현실과 너무나 멀리 떨어져 있다는 경고를 했음. S&P 연구에 따르면, 특히 투기등급에 있는 회사 인수에 이 지표를 사용했을 경우 매 년 95% 이상 기업이 수익 예상에 미달한 것으로 나타났음. 더 걱정스러운 것은 이 수익지표가 얼마나 큰 부채를 끌어쓰고 있는지, 레버리지 수준을 감추고 있다는 것임. 지속적으로 현금창출 능력과 부채 상환의 척도로 이 수익지표를 사용하는 경우 신용위험을 과소평가하고 재무건전성을 제대로 측정하지 못하는 위험을 지게 될 것이라고 경고했음.
During the days of easy money, one of the most widely tracked numbers in credit markets became an unfortunate punchline. Ebitda, which stands for earnings before interest, taxes, depreciation and amortization — a figure that’s akin to a company’s cash flow and, thus, its ability to pay its debts — was instead mocked as a marketing gimmick. When bankers and private equity firms asked investors to buy a piece of their loans funding buyouts and other transactions, they would layer on so-called add-backs to earnings projections that, to some, defied reason. “Ebitda: Eventually busted, interesting theory, deeply aspirational,” one Moody’s analyst joked in 2017. Sixth Street Partners co-founder Alan Waxman had a more blunt assessment, warning an audience at a private conference that such “fake Ebitda” threatened to exacerbate the next economic slump. Now, amid rising interest rates, persistent inflation and warnings of a potential recession on the horizon, research from S&P Global Ratings is underscoring just how far from reality the earnings projections are proving to be. As Bloomberg’s Diana Li wrote on Friday, 97% of speculative-grade companies that announced acquisitions in 2019 fell short of forecasts in their first year of earnings, according to S&P. For 2018 deals, it was 96% and 93% for 2017 acquisitions. Even after the economy was flooded with fiscal and monetary stimulus after the pandemic, about 77% of buyouts and acquisitions from 2019 were still short of their projected earnings, S&P’s research shows. The bigger worry is that years of rosy earnings projections are masking the amount of leverage on the balance sheets of the lowest-rated companies. By 2019, before the Covid-19 pandemic sent markets tumbling the following year, add-backs were accounting for about 28% of total adjusted Ebitda figures used to market acquisition loans, Covenant Review data at the time showed. That was up from 17% in 2017. The S&P analysts this week said the latest data reinforces their view that those Ebitda figures are “not a realistic indication of future Ebitda and that companies consistently overestimate debt repayment.”. “Together, these effects meaningfully underestimate actual future leverage and credit risk,” they wrote.
During the days of easy money, one of the most widely tracked numbers in credit markets became an unfortunate punchline. Ebitda, which stands for earnings before interest, taxes, depreciation and amortization — a figure that’s akin to a company’s cash flow and, thus, its ability to pay its debts — was instead mocked as a marketing gimmick. When bankers and private equity firms asked investors to buy a piece of their loans funding buyouts and other transactions, they would layer on so-called add-backs to earnings projections that, to some, defied reason. “Ebitda: Eventually busted, interesting theory, deeply aspirational,” one Moody’s analyst joked in 2017. Sixth Street Partners co-founder Alan Waxman had a more blunt assessment, warning an audience at a private conference that such “fake Ebitda” threatened to exacerbate the next economic slump. Now, amid rising interest rates, persistent inflation and warnings of a potential recession on the horizon, research from S&P Global Ratings is underscoring just how far from reality the earnings projections are proving to be. As Bloomberg’s Diana Li wrote on Friday, 97% of speculative-grade companies that announced acquisitions in 2019 fell short of forecasts in their first year of earnings, according to S&P. For 2018 deals, it was 96% and 93% for 2017 acquisitions. Even after the economy was flooded with fiscal and monetary stimulus after the pandemic, about 77% of buyouts and acquisitions from 2019 were still short of their projected earnings, S&P’s research shows. The bigger worry is that years of rosy earnings projections are masking the amount of leverage on the balance sheets of the lowest-rated companies. By 2019, before the Covid-19 pandemic sent markets tumbling the following year, add-backs were accounting for about 28% of total adjusted Ebitda figures used to market acquisition loans, Covenant Review data at the time showed. That was up from 17% in 2017. The S&P analysts this week said the latest data reinforces their view that those Ebitda figures are “not a realistic indication of future Ebitda and that companies consistently overestimate debt repayment.”. “Together, these effects meaningfully underestimate actual future leverage and credit risk,” they wrote.
Bottom-line: 지난해 9월부터 시작 된 달러 약세가 중앙은행의 강경한 발언과 시장 기대 형성으로 단기 강세를 보이고 있음. 그러나 달러의 방향을 가늠하기 좋은 장기 추세 지표는 달러 약세가 올해 8월까지 이어질 수 있음을 시사함. 해당 지표는 10년물과 3개월물 실질금리의 차이로 만든 실질수익률 곡선임.
Leading indicators highlight that the dollar selloff, which began last September, likely has further to go. This month’s rally has been (ostensibly) prompted by reinvigorated Fed hawkishness, but longer-term indicators that lead turns in the dollar well have not altered their trend. The real yield curve is one of the best ones, and pointed to the coming peak in the dollar in late August. The curve (defined here as real 10y vs real 3m) is still trending lower, indicating the primary downward trend in the dollar is still intact.
Leading indicators highlight that the dollar selloff, which began last September, likely has further to go. This month’s rally has been (ostensibly) prompted by reinvigorated Fed hawkishness, but longer-term indicators that lead turns in the dollar well have not altered their trend. The real yield curve is one of the best ones, and pointed to the coming peak in the dollar in late August. The curve (defined here as real 10y vs real 3m) is still trending lower, indicating the primary downward trend in the dollar is still intact.