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2021-08-06

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Goldman's Top 13 Charts For The Month Of August<blockquote>高盛 8 月份前 13 张排行榜</blockquote>

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{"i18n":{"language":"zh_CN"},"detailType":1,"isChannel":false,"data":{"magic":2,"id":899226469,"tweetId":"899226469","gmtCreate":1628202543651,"gmtModify":1633752775838,"author":{"id":4090634070993250,"idStr":"4090634070993250","authorId":4090634070993250,"authorIdStr":"4090634070993250","name":"4ba26e35","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[],"fanSize":9,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"title":"","extraTitle":"","html":"<html><head></head><body>Good info</body></html>","htmlText":"<html><head></head><body>Good info</body></html>","text":"Good info","highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"favoriteSize":0,"link":"https://laohu8.com/post/899226469","repostId":1105489937,"repostType":4,"repost":{"id":"1105489937","kind":"news","pubTimestamp":1628155377,"share":"https://www.laohunote.com/m/news/1105489937?lang=zh_CN&edition=full","pubTime":"2021-08-05 17:22","market":"us","language":"en","title":"Goldman's Top 13 Charts For The Month Of August<blockquote>高盛 8 月份前 13 张排行榜</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1105489937","media":"zerohedge","summary":"The start of a new month means that Goldman's flow traders need a new set of exciting ideas and trad","content":"The start of a new month means that Goldman's flow traders need a new set of exciting ideas and trades to dangle before their clients, and that's just what Goldman traders Scott Rubner, Matthew Fleury, Matthieu Martal , Kavita Vaja, and Jonas Bovbjerg are doing by putting together the following 13 charts that capture some of the best ideas and trade recos emerging from the world's most powerful trading desk.<blockquote>新一个月的开始意味着高盛的流量交易员需要一套新的令人兴奋的想法和交易来展示在他们的客户面前，而这正是高盛交易员 Scott Rubner、Matthew Fleury、Matthieu Martal、Kavita Vaja 和 Jonas Bovbjerg 正在做的事情。通过整理以下 13 张图表，捕捉了世界上最强大的交易柜台出现的一些最佳想法和交易记录。</blockquote> 1. \"If you are a stock picker watching earnings prints you are likely fully engaged this week.This week will be peak liquidity for the rest of the summer. Vacation or extended vacation schedules officially kick off next week after earnings season. As we sit right now. Liquidity is at the highs into a busy week\"<blockquote>1.“如果你是一个关注财报的选股者，你本周可能会全身心投入。本周将是夏季剩余时间的流动性高峰。假期或延长假期计划将于财报季结束后的下周正式开始。就在我们现在坐着的时候。进入繁忙的一周，流动性处于高位”</blockquote> <img src=\"https://static.tigerbbs.com/7085a22959ed7e6fdb8e3dfe125c1d20\" tg-width=\"650\" tg-height=\"450\" referrerpolicy=\"no-referrer\">2. \"I think equities would be fine with higher yields- the negative correlation of SPX &amp; NDX with the 30yr has turned positive again. Higher yields are much less of a problem than they were earlier this year\"<blockquote>2.“我认为股票收益率更高会很好- SPX 和 NDX 与 30 年的负相关再次转为正相关。与今年早些时候相比，更高的收益率问题要小得多”</blockquote> <img src=\"https://static.tigerbbs.com/5e5c5950acc89489fb308d300c3dc20f\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 3.\"China Regulation:&nbsp;As the regulatory pressure on China's leading offshore internet &amp; education firms has increased in recent weeks, tech hardware companies listed onshore have outperformed the Chinese market. With the broader Chinese economy still in a growth phase (with Chinese equities historically displaying 22% return over 15months, entirely driven by earnings re-rating), and earnings revisions outside of the internet sector higher year to date (MSCI China ex Internet EPS up +5% vs China Internet EPS down -22% YTD), this basket is designed to benefit from the expansion of China's high tech manufacturing capabilities. For the first time in 5 years we have seen a meaningful divergence between HK and China listed Tech. ADRs have consistently underperformed.\"<blockquote>3.\"中国法规：最近几周，随着中国领先的离岸互联网和教育公司面临的监管压力加大，在岸上市的科技硬件公司的表现优于中国市场。由于更广泛的中国经济仍处于增长阶段（中国股市历来在 15 个月内表现出 22% 的回报率，完全是由盈利重新评级推动的），并且今年迄今为止互联网行业以外的盈利修正较高（MSCI 中国（不包括互联网）每股收益上涨 +5%，而中国互联网每股收益年初至今下降 -22%），这一篮子旨在受益于中国高科技制造能力的扩张。五年来，我们首次看到香港和中国上市科技公司之间出现了有意义的分歧。美国存托凭证的表现一直不佳。”</blockquote> <img src=\"https://static.tigerbbs.com/9b5efa9b164299c0081319274ad88464\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 4. Implied dispersion levels have structurally reset higher over the past 5Y in Europe &amp; US.<blockquote>4.在过去的5年里，欧洲和美国的隐含离散水平在结构上重置得更高。</blockquote> <img src=\"https://static.tigerbbs.com/8dd483873504d2edb4cce8ab9f3dca03\" tg-width=\"594\" tg-height=\"440\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 5. Dispersion performance has been stable due to rising realized levels over the same period<blockquote>5.由于在同一时期内实现的水平上升，分散性能一直稳定</blockquote> <img src=\"https://static.tigerbbs.com/8dd483873504d2edb4cce8ab9f3dca03\" tg-width=\"594\" tg-height=\"440\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 6. SX5E 1Y Vega neutral dispersion offered defensives properties in GFC &amp; COVID due to realized volatility spikes.<blockquote>6. 由于实现了波动性峰值，SX5E 1Y Vega 中性分散体在 GFC 和 COVID 中具有防御性。</blockquote> <img src=\"https://static.tigerbbs.com/828358d146ae81f8416d3e6260df9471\" tg-width=\"606\" tg-height=\"434\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 7. Index implied volatility has reset sharply lower pre- and post-COVID,which has contributed to rising implied entry levels for dispersion. However, the compression of index realized volatility since the US elections has maintained stable dispersion performance from the index leg. SX5E 1Y Dispersion performance has been stable due to contribution from both index and single-stock legs.<blockquote>7.指数隐含波动率在新冠疫情前后大幅下降，这导致了分散的隐含入门水平的上升。然而，美国大选以来指数实现波动的压缩从指数腿上保持稳定的分散表现。由于指数和单只股票腿的贡献，SX5E 1Y 分散表现一直保持稳定。</blockquote> <img src=\"https://static.tigerbbs.com/f79d93d1babf3fbcd8240888633b008f\" tg-width=\"600\" tg-height=\"438\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 8. The fall in index implied volatility in recent years can be partly explained by the sharp fall in index implied correlation levels as well as falling demand for upside call options in European equities.Market-implied average single-stock correlation shows that whilst index implied volatility has fallen since 2015 and again post-COVID, driving the implied dispersion entry level higher, this has coincided with a sharp fall in implied correlation levels over the same period. Therefore, dispersion strategies which sell expensive implied correlation have continued to perform well despite higher implied dispersion entry levels. SX5E 1Y implied correlation has fallen more than index implied volatility levels.<blockquote>8. 近年来指数隐含波动率的下降，部分原因是指数隐含相关性水平急剧下降，以及欧洲股市对上行看涨期权期权的需求下降。市场隐含平均单只股票相关性显示，虽然指数隐含波动性自2015年以来以及新冠疫情后再次下降，推高了隐含离散入场水平，但这与同期隐含相关性水平的急剧下降相吻合。因此，尽管隐含离散入场水平较高，但出售昂贵隐含相关性的离散策略继续表现良好。SX5E 1Y 隐含相关性的下降幅度超过了指数隐含波动率水平。</blockquote> <img src=\"https://static.tigerbbs.com/6c4e4fd3d5c2103c572126ee034d92ee\" tg-width=\"600\" tg-height=\"435\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 9. Correlation of returns on t vs t-1 is deeply negative in SX5E<blockquote>9.在SX5E中，t与t-1的回报相关性是深度负相关的</blockquote> <img src=\"https://static.tigerbbs.com/999e9e1449cc5df8c196025b2f68b08b\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 10. Despite the spread trading off the lower values during the post-Mar20 period, it remains at historical lows (18th percentile vs. past 5y).The recent pick up in realized spread should support the forward vol level as we roll into the spot spread. Term-structure roll is favorable due to the steepness of the SPX term structure (~0.5v positive carry over the next 3m, everything else remaining equal). The spot spread gets delivered in December at extreme lows, &gt;3v below current 6m realized.<blockquote>10. 尽管在 2020 年 3 月后期间，价差交易较低，但仍处于历史低点（第 18 百分位数与过去 5 年相比）。当我们进入现货价差时，最近实现价差的回升应该会支撑远期交易量水平。由于SPX项结构的陡峭性，项结构滚动是有利的（在接下来的3m内约0.5v正进位，其他一切保持不变）。现货价差在12月份以极低的价格交付，比实现的电流6m低&gt;3v。</blockquote> <img src=\"https://static.tigerbbs.com/9641a36f2830851d562be4216ceea61e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 11. Significant roll-up in the SX5E-SPX spread<blockquote>11. SX5E-SPX 价差大幅上涨</blockquote> <img src=\"https://static.tigerbbs.com/6e03effca5987dae6fb8b74a564e750e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 12. Realized correlation between broader market vs. Momentum vs. EU Cyclicals/Defensives<blockquote>12. 大盘与动能与欧盟周期性/防御性指标之间的相关性</blockquote> <img src=\"https://static.tigerbbs.com/6e03effca5987dae6fb8b74a564e750e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 13. VOW3 term structure has materially flattened over the past year(red&nbsp;vs.grey), driven by a combination of call overwriting in the front-end and more recently, long-dated upside options buyers. Implied volatility has also recently reset lower across the curve (red&nbsp;vs.navy) and the skew is flat/call skew is inverted. Therefore, consider owning long-dated upside call spreads which offer a high max. payout ratio (chart 4,navy) where you sell a call 3v higher (grey) than where you buy a call.<blockquote>13. 在过去一年中，VOW3的任期结构大大趋于平缓(红色对。灰色），是由前端看涨期权注销和最近长期看涨期权买家共同推动的。隐含波动率最近也在整个曲线上重置较低（红色对。海军）并且倾斜是平的/看涨期权倾斜是倒的。因此，考虑持有提供高最大支付率的长期上行看涨期权价差（图4，海军）你在哪里卖的看涨期权3v更高（灰色）而不是你在哪里买看涨期权。</blockquote> <img src=\"https://static.tigerbbs.com/daaa03296f95fab3243b899b370370c0\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Goldman's Top 13 Charts For The Month Of August<blockquote>高盛 8 月份前 13 张排行榜</blockquote></title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nGoldman's Top 13 Charts For The Month Of August<blockquote>高盛 8 月份前 13 张排行榜</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-08-05 17:22\n\n</h4>\n</header>\n<article>\nThe start of a new month means that Goldman's flow traders need a new set of exciting ideas and trades to dangle before their clients, and that's just what Goldman traders Scott Rubner, Matthew Fleury, Matthieu Martal , Kavita Vaja, and Jonas Bovbjerg are doing by putting together the following 13 charts that capture some of the best ideas and trade recos emerging from the world's most powerful trading desk.<blockquote>新一个月的开始意味着高盛的流量交易员需要一套新的令人兴奋的想法和交易来展示在他们的客户面前，而这正是高盛交易员 Scott Rubner、Matthew Fleury、Matthieu Martal、Kavita Vaja 和 Jonas Bovbjerg 正在做的事情。通过整理以下 13 张图表，捕捉了世界上最强大的交易柜台出现的一些最佳想法和交易记录。</blockquote> 1. \"If you are a stock picker watching earnings prints you are likely fully engaged this week.This week will be peak liquidity for the rest of the summer. Vacation or extended vacation schedules officially kick off next week after earnings season. As we sit right now. Liquidity is at the highs into a busy week\"<blockquote>1.“如果你是一个关注财报的选股者，你本周可能会全身心投入。本周将是夏季剩余时间的流动性高峰。假期或延长假期计划将于财报季结束后的下周正式开始。就在我们现在坐着的时候。进入繁忙的一周，流动性处于高位”</blockquote> <img src=\"https://static.tigerbbs.com/7085a22959ed7e6fdb8e3dfe125c1d20\" tg-width=\"650\" tg-height=\"450\" referrerpolicy=\"no-referrer\">2. \"I think equities would be fine with higher yields- the negative correlation of SPX &amp; NDX with the 30yr has turned positive again. Higher yields are much less of a problem than they were earlier this year\"<blockquote>2.“我认为股票收益率更高会很好- SPX 和 NDX 与 30 年的负相关再次转为正相关。与今年早些时候相比，更高的收益率问题要小得多”</blockquote> <img src=\"https://static.tigerbbs.com/5e5c5950acc89489fb308d300c3dc20f\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 3.\"China Regulation:&nbsp;As the regulatory pressure on China's leading offshore internet &amp; education firms has increased in recent weeks, tech hardware companies listed onshore have outperformed the Chinese market. With the broader Chinese economy still in a growth phase (with Chinese equities historically displaying 22% return over 15months, entirely driven by earnings re-rating), and earnings revisions outside of the internet sector higher year to date (MSCI China ex Internet EPS up +5% vs China Internet EPS down -22% YTD), this basket is designed to benefit from the expansion of China's high tech manufacturing capabilities. For the first time in 5 years we have seen a meaningful divergence between HK and China listed Tech. ADRs have consistently underperformed.\"<blockquote>3.\"中国法规：最近几周，随着中国领先的离岸互联网和教育公司面临的监管压力加大，在岸上市的科技硬件公司的表现优于中国市场。由于更广泛的中国经济仍处于增长阶段（中国股市历来在 15 个月内表现出 22% 的回报率，完全是由盈利重新评级推动的），并且今年迄今为止互联网行业以外的盈利修正较高（MSCI 中国（不包括互联网）每股收益上涨 +5%，而中国互联网每股收益年初至今下降 -22%），这一篮子旨在受益于中国高科技制造能力的扩张。五年来，我们首次看到香港和中国上市科技公司之间出现了有意义的分歧。美国存托凭证的表现一直不佳。”</blockquote> <img src=\"https://static.tigerbbs.com/9b5efa9b164299c0081319274ad88464\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 4. Implied dispersion levels have structurally reset higher over the past 5Y in Europe &amp; US.<blockquote>4.在过去的5年里，欧洲和美国的隐含离散水平在结构上重置得更高。</blockquote> <img src=\"https://static.tigerbbs.com/8dd483873504d2edb4cce8ab9f3dca03\" tg-width=\"594\" tg-height=\"440\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 5. Dispersion performance has been stable due to rising realized levels over the same period<blockquote>5.由于在同一时期内实现的水平上升，分散性能一直稳定</blockquote> <img src=\"https://static.tigerbbs.com/8dd483873504d2edb4cce8ab9f3dca03\" tg-width=\"594\" tg-height=\"440\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 6. SX5E 1Y Vega neutral dispersion offered defensives properties in GFC &amp; COVID due to realized volatility spikes.<blockquote>6. 由于实现了波动性峰值，SX5E 1Y Vega 中性分散体在 GFC 和 COVID 中具有防御性。</blockquote> <img src=\"https://static.tigerbbs.com/828358d146ae81f8416d3e6260df9471\" tg-width=\"606\" tg-height=\"434\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 7. Index implied volatility has reset sharply lower pre- and post-COVID,which has contributed to rising implied entry levels for dispersion. However, the compression of index realized volatility since the US elections has maintained stable dispersion performance from the index leg. SX5E 1Y Dispersion performance has been stable due to contribution from both index and single-stock legs.<blockquote>7.指数隐含波动率在新冠疫情前后大幅下降，这导致了分散的隐含入门水平的上升。然而，美国大选以来指数实现波动的压缩从指数腿上保持稳定的分散表现。由于指数和单只股票腿的贡献，SX5E 1Y 分散表现一直保持稳定。</blockquote> <img src=\"https://static.tigerbbs.com/f79d93d1babf3fbcd8240888633b008f\" tg-width=\"600\" tg-height=\"438\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 8. The fall in index implied volatility in recent years can be partly explained by the sharp fall in index implied correlation levels as well as falling demand for upside call options in European equities.Market-implied average single-stock correlation shows that whilst index implied volatility has fallen since 2015 and again post-COVID, driving the implied dispersion entry level higher, this has coincided with a sharp fall in implied correlation levels over the same period. Therefore, dispersion strategies which sell expensive implied correlation have continued to perform well despite higher implied dispersion entry levels. SX5E 1Y implied correlation has fallen more than index implied volatility levels.<blockquote>8. 近年来指数隐含波动率的下降，部分原因是指数隐含相关性水平急剧下降，以及欧洲股市对上行看涨期权期权的需求下降。市场隐含平均单只股票相关性显示，虽然指数隐含波动性自2015年以来以及新冠疫情后再次下降，推高了隐含离散入场水平，但这与同期隐含相关性水平的急剧下降相吻合。因此，尽管隐含离散入场水平较高，但出售昂贵隐含相关性的离散策略继续表现良好。SX5E 1Y 隐含相关性的下降幅度超过了指数隐含波动率水平。</blockquote> <img src=\"https://static.tigerbbs.com/6c4e4fd3d5c2103c572126ee034d92ee\" tg-width=\"600\" tg-height=\"435\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 9. Correlation of returns on t vs t-1 is deeply negative in SX5E<blockquote>9.在SX5E中，t与t-1的回报相关性是深度负相关的</blockquote> <img src=\"https://static.tigerbbs.com/999e9e1449cc5df8c196025b2f68b08b\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 10. Despite the spread trading off the lower values during the post-Mar20 period, it remains at historical lows (18th percentile vs. past 5y).The recent pick up in realized spread should support the forward vol level as we roll into the spot spread. Term-structure roll is favorable due to the steepness of the SPX term structure (~0.5v positive carry over the next 3m, everything else remaining equal). The spot spread gets delivered in December at extreme lows, &gt;3v below current 6m realized.<blockquote>10. 尽管在 2020 年 3 月后期间，价差交易较低，但仍处于历史低点（第 18 百分位数与过去 5 年相比）。当我们进入现货价差时，最近实现价差的回升应该会支撑远期交易量水平。由于SPX项结构的陡峭性，项结构滚动是有利的（在接下来的3m内约0.5v正进位，其他一切保持不变）。现货价差在12月份以极低的价格交付，比实现的电流6m低&gt;3v。</blockquote> <img src=\"https://static.tigerbbs.com/9641a36f2830851d562be4216ceea61e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 11. Significant roll-up in the SX5E-SPX spread<blockquote>11. SX5E-SPX 价差大幅上涨</blockquote> <img src=\"https://static.tigerbbs.com/6e03effca5987dae6fb8b74a564e750e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 12. Realized correlation between broader market vs. Momentum vs. EU Cyclicals/Defensives<blockquote>12. 大盘与动能与欧盟周期性/防御性指标之间的相关性</blockquote> <img src=\"https://static.tigerbbs.com/6e03effca5987dae6fb8b74a564e750e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote> 13. VOW3 term structure has materially flattened over the past year(red&nbsp;vs.grey), driven by a combination of call overwriting in the front-end and more recently, long-dated upside options buyers. Implied volatility has also recently reset lower across the curve (red&nbsp;vs.navy) and the skew is flat/call skew is inverted. Therefore, consider owning long-dated upside call spreads which offer a high max. payout ratio (chart 4,navy) where you sell a call 3v higher (grey) than where you buy a call.<blockquote>13. 在过去一年中，VOW3的任期结构大大趋于平缓(红色对。灰色），是由前端看涨期权注销和最近长期看涨期权买家共同推动的。隐含波动率最近也在整个曲线上重置较低（红色对。海军）并且倾斜是平的/看涨期权倾斜是倒的。因此，考虑持有提供高最大支付率的长期上行看涨期权价差（图4，海军）你在哪里卖的看涨期权3v更高（灰色）而不是你在哪里买看涨期权。</blockquote> <img src=\"https://static.tigerbbs.com/daaa03296f95fab3243b899b370370c0\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/goldmans-top-13-charts-month-august\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{".DJI":"道琼斯","SPY":"标普500ETF",".IXIC":"NASDAQ Composite",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/goldmans-top-13-charts-month-august","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1105489937","content_text":"The start of a new month means that Goldman's flow traders need a new set of exciting ideas and trades to dangle before their clients, and that's just what Goldman traders Scott Rubner, Matthew Fleury, Matthieu Martal , Kavita Vaja, and Jonas Bovbjerg are doing by putting together the following 13 charts that capture some of the best ideas and trade recos emerging from the world's most powerful trading desk.\n1. \"If you are a stock picker watching earnings prints you are likely fully engaged this week.This week will be peak liquidity for the rest of the summer. Vacation or extended vacation schedules officially kick off next week after earnings season. As we sit right now. Liquidity is at the highs into a busy week\"\n2. \"I think equities would be fine with higher yields- the negative correlation of SPX & NDX with the 30yr has turned positive again. Higher yields are much less of a problem than they were earlier this year\"\n\n3.\"China Regulation: As the regulatory pressure on China's leading offshore internet & education firms has increased in recent weeks, tech hardware companies listed onshore have outperformed the Chinese market. With the broader Chinese economy still in a growth phase (with Chinese equities historically displaying 22% return over 15months, entirely driven by earnings re-rating), and earnings revisions outside of the internet sector higher year to date (MSCI China ex Internet EPS up +5% vs China Internet EPS down -22% YTD), this basket is designed to benefit from the expansion of China's high tech manufacturing capabilities. For the first time in 5 years we have seen a meaningful divergence between HK and China listed Tech. ADRs have consistently underperformed.\"\n\n4. Implied dispersion levels have structurally reset higher over the past 5Y in Europe & US.\n\n5. Dispersion performance has been stable due to rising realized levels over the same period\n\n6. SX5E 1Y Vega neutral dispersion offered defensives properties in GFC & COVID due to realized volatility spikes.\n\n7. Index implied volatility has reset sharply lower pre- and post-COVID,which has contributed to rising implied entry levels for dispersion. However, the compression of index realized volatility since the US elections has maintained stable dispersion performance from the index leg. SX5E 1Y Dispersion performance has been stable due to contribution from both index and single-stock legs.\n\n8. The fall in index implied volatility in recent years can be partly explained by the sharp fall in index implied correlation levels as well as falling demand for upside call options in European equities.Market-implied average single-stock correlation shows that whilst index implied volatility has fallen since 2015 and again post-COVID, driving the implied dispersion entry level higher, this has coincided with a sharp fall in implied correlation levels over the same period. Therefore, dispersion strategies which sell expensive implied correlation have continued to perform well despite higher implied dispersion entry levels. SX5E 1Y implied correlation has fallen more than index implied volatility levels.\n\n9. Correlation of returns on t vs t-1 is deeply negative in SX5E\n\n10. Despite the spread trading off the lower values during the post-Mar20 period, it remains at historical lows (18th percentile vs. past 5y).The recent pick up in realized spread should support the forward vol level as we roll into the spot spread. Term-structure roll is favorable due to the steepness of the SPX term structure (~0.5v positive carry over the next 3m, everything else remaining equal). The spot spread gets delivered in December at extreme lows, >3v below current 6m realized.\n\n11. Significant roll-up in the SX5E-SPX spread\n\n12. Realized correlation between broader market vs. Momentum vs. EU Cyclicals/Defensives\n\n13. VOW3 term structure has materially flattened over the past year(red vs.grey), driven by a combination of call overwriting in the front-end and more recently, long-dated upside options buyers. Implied volatility has also recently reset lower across the curve (red vs.navy) and the skew is flat/call skew is inverted. Therefore, consider owning long-dated upside call spreads which offer a high max. payout ratio (chart 4,navy) where you sell a call 3v higher (grey) than where you buy a call.","news_type":1,"symbols_score_info":{".DJI":0.9,".IXIC":0.9,"SPY":0.9,".SPX":0.9}},"isVote":1,"tweetType":1,"viewCount":538,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":8,"subscribersOnly":false,"subscribersOnlyAccessible":false,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/899226469"}