Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To "Big Rally"_老虎社区_美港股上老虎

Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To "Big Rally"

zerohedge2021-09-24

In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not...

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107

Cvt
·2021-09-25
Like
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replaygoh
·2021-09-25
okok
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1
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HENRYCSC
·2021-09-25
Ya
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3
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SanWangtikup
·2021-09-24
Like pls
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6
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收起
- BGTAN:
  ok
  2021-09-25
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- Cvt:
  Like
  2021-09-25
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JeremyChuax
·2021-09-24
Up
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4
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NeshiNeo
·2021-09-24
i can't understand this. Guess i have a lot more to learn =(
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3
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SamYYL
·2021-09-24
Like
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5
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- 滚股怪:
  Ok
  2021-09-25
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Byron888
·2021-09-24
The Fed knows they don’t want to be responsible for any market downturn or business sentiment reversal. I take any hawkish Stances with a grain of salt.The world is still reeling from Covid 19 and restrictions still abound. There will be no strong tightening measures taken in the foreseeable future.
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- 绿色地球环境:
  希望新冠病毒尽快过去吧，这样一切都会顺利发展
  2021-09-25
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Pateo
·2021-09-24
nice
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2
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Dcagency
·2021-09-24
Good
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1
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SherryVJ
·2021-09-24
🧐
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BNBC
·2021-09-24
👍
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Sysy
·2021-09-24
L&c
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- LinHart:
  Ok
  2021-09-24
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href=https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally>zerohedge</a>\n\n\n</h4>\n\n</header>\n<article>\n<div>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not...\n\n<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">网页链接</a>\n\n</div>\n\n\n</article>\n</div>\n</body>\n</html>\n","isBrief":false,"type":0,"news_type":1,"symbol":".IXIC","symbol_name":"NASDAQ Composite","start_time":0,"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","article_id":"1136813013","we_media_id":null,"thumbnails":[],"rights":null,"url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","pubTimestamp":1632469518,"columns":[],"sourceInfo":null,"weMediaInfo":null,"summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","collect":0,"end_time":0,"defaultTopTitle":"zerohedge.com","property":[],"viewcount":null,"language":"en","relate_stocks":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"translate_title":"随着市场从抛售转向“大反弹”，野村证券揭示了“知识流”","themeId":null,"isJumpTheme":false,"ttsUrl":null,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9},"content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","kind":"news","is_publish_news":true,"is_publish_highlight":true,"is_publish_live":false,"is_publish_wemedia":null,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"symbols":[],"gpt_button":0,"need_auth":false,"code":"91000000","status":"200"},"commentList":[{"id":861521745,"gmtCreate":1632526050887,"gmtModify":1632713135729,"author":{"id":"3579235597126488","authorId":"3579235597126488","name":"Cvt","avatar":"https://static.tigerbbs.com/c8fda02901ec7a98b51fe8e84d016ab2","vip":1,"crmLevel":2,"crmLevelSwitch":0,"idStr":"3579235597126488","authorIdStr":"3579235597126488"},"htmlText":"Like","listText":"Like","text":"Like","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/861521745","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":861523395,"gmtCreate":1632525805017,"gmtModify":1632713183748,"author":{"id":"3582963095283492","authorId":"3582963095283492","name":"replaygoh","avatar":"https://static.tigerbbs.com/d47b21291424a3d55039334a8de5cdb9","vip":1,"crmLevel":1,"crmLevelSwitch":0,"idStr":"3582963095283492","authorIdStr":"3582963095283492"},"htmlText":"okok","listText":"okok","text":"okok","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/861523395","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":861249037,"gmtCreate":1632502938129,"gmtModify":1632714906599,"author":{"id":"3575091428590185","authorId":"3575091428590185","name":"HENRYCSC","avatar":"https://static.tigerbbs.com/6d47a6dec25b21dc547a5b982674c499","vip":1,"crmLevel":11,"crmLevelSwitch":0,"idStr":"3575091428590185","authorIdStr":"3575091428590185"},"htmlText":"Ya&nbsp;","listText":"Ya&nbsp;","text":"Ya","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/861249037","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":861260942,"gmtCreate":1632498266886,"gmtModify":1632715461846,"author":{"id":"4087452914358580","authorId":"4087452914358580","name":"SanWangtikup","avatar":"https://static.tigerbbs.com/c7f061d50a9f915d0ce8e8c879871960","vip":1,"crmLevel":11,"crmLevelSwitch":0,"idStr":"4087452914358580","authorIdStr":"4087452914358580"},"htmlText":"Like pls","listText":"Like pls","text":"Like pls","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":6,"commentSize":2,"repostSize":0,"link":"https://laohu8.com/post/861260942","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":5987177,"gmtCreate":1632525209139,"gmtModify":1634786813254,"authorId":3578630064980119,"author":{"id":3578630064980119,"idStr":"3578630064980119","authorId":3578630064980119,"name":"BGTAN","avatar":"https://static.tigerbbs.com/8ca7305b1f6bd1d4dd9abf3c54e6fbdb","vip":1,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":861260942,"type":1,"supId":0,"prevId":0,"content":"ok","text":"ok","html":"ok"},{"id":5987305,"gmtCreate":1632526010501,"gmtModify":1634786801689,"authorId":3579235597126488,"author":{"id":3579235597126488,"idStr":"3579235597126488","authorId":3579235597126488,"name":"Cvt","avatar":"https://static.tigerbbs.com/c8fda02901ec7a98b51fe8e84d016ab2","vip":1,"crmLevel":2,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":861260942,"type":1,"supId":0,"prevId":0,"content":"Like","text":"Like","html":"Like"}],"langContent":"CN"},{"id":861216222,"gmtCreate":1632497387666,"gmtModify":1632715773967,"author":{"id":"4089499026613770","authorId":"4089499026613770","name":"JeremyChuax","avatar":"https://static.tigerbbs.com/a1f1ede120de2da723e4456d7fdcce55","vip":1,"crmLevel":3,"crmLevelSwitch":0,"idStr":"4089499026613770","authorIdStr":"4089499026613770"},"htmlText":"Up","listText":"Up","text":"Up","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":4,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/861216222","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":861670761,"gmtCreate":1632494602753,"gmtModify":1632716626912,"author":{"id":"4087560374473260","authorId":"4087560374473260","name":"NeshiNeo","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"crmLevel":11,"crmLevelSwitch":0,"idStr":"4087560374473260","authorIdStr":"4087560374473260"},"htmlText":"i can't understand this. Guess i have a lot more to learn =(","listText":"i can't understand this. Guess i have a lot more to learn =(","text":"i can't understand this. Guess i have a lot more to learn =(","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/861670761","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":861647274,"gmtCreate":1632494452098,"gmtModify":1632716650920,"author":{"id":"4089205014499330","authorId":"4089205014499330","name":"SamYYL","avatar":"https://static.tigerbbs.com/c38b79dfd54364065e7068bc7e80dc9f","vip":1,"crmLevel":11,"crmLevelSwitch":0,"idStr":"4089205014499330","authorIdStr":"4089205014499330"},"htmlText":"Like","listText":"Like","text":"Like","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":5,"commentSize":1,"repostSize":0,"link":"https://laohu8.com/post/861647274","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":5991062,"gmtCreate":1632541353314,"gmtModify":1634786447782,"authorId":4091089381144950,"author":{"id":4091089381144950,"idStr":"4091089381144950","authorId":4091089381144950,"name":"滚股怪","avatar":"https://static.tigerbbs.com/b67621b4133ca0db91bff9766152a448","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":861647274,"type":1,"supId":0,"prevId":0,"content":"Ok","text":"Ok","html":"Ok"}],"langContent":"CN"},{"id":861644144,"gmtCreate":1632494366988,"gmtModify":1632716680929,"author":{"id":"4094629679226490","authorId":"4094629679226490","name":"Byron888","avatar":"https://static.tigerbbs.com/3f97de3a55edf14141a832a5984c8f06","vip":1,"crmLevel":11,"crmLevelSwitch":0,"idStr":"4094629679226490","authorIdStr":"4094629679226490"},"htmlText":"The Fed knows they don’t want to be responsible for any market downturn or business sentiment reversal. I take any hawkish Stances with a grain of salt.The world is still reeling from Covid 19 and restrictions still abound. There will be no strong tightening measures taken in the foreseeable future.","listText":"The Fed knows they don’t want to be responsible for any market downturn or business sentiment reversal. I take any hawkish Stances with a grain of salt.The world is still reeling from Covid 19 and restrictions still abound. There will be no strong tightening measures taken in the foreseeable future.","text":"The Fed knows they don’t want to be responsible for any market downturn or business sentiment reversal. I take any hawkish Stances with a grain of salt.The world is still reeling from Covid 19 and restrictions still abound. There will be no strong tightening measures taken in the foreseeable future.","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":5,"commentSize":1,"repostSize":0,"link":"https://laohu8.com/post/861644144","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":5992154,"gmtCreate":1632549411313,"gmtModify":1632549411313,"authorId":9000000000000274,"author":{"id":9000000000000274,"idStr":"9000000000000274","authorId":9000000000000274,"name":"绿色地球环境","avatar":"https://static.tigerbbs.com/3f22a29b39b5f74f64ed2991be7810b0","vip":8,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":861644144,"type":1,"supId":0,"prevId":0,"content":"希望新冠病毒尽快过去吧，这样一切都会顺利发展","text":"希望新冠病毒尽快过去吧，这样一切都会顺利发展","html":"希望新冠病毒尽快过去吧，这样一切都会顺利发展"}],"langContent":"CN"},{"id":861648289,"gmtCreate":1632494163141,"gmtModify":1632716761958,"author":{"id":"3585908551173937","authorId":"3585908551173937","name":"Pateo","avatar":"https://static.tigerbbs.com/6e06a271cd489436c77c7956e637a6f7","vip":1,"crmLevel":11,"crmLevelSwitch":0,"idStr":"3585908551173937","authorIdStr":"3585908551173937"},"htmlText":"nice","listText":"nice","text":"nice","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/861648289","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":861643412,"gmtCreate":1632494060336,"gmtModify":1632716782966,"author":{"id":"3557142354281361","authorId":"3557142354281361","name":"Dcagency","avatar":"https://static.tigerbbs.com/811d507c3458decd0eacd9028472dcf4","vip":1,"crmLevel":11,"crmLevelSwitch":0,"idStr":"3557142354281361","authorIdStr":"3557142354281361"},"htmlText":"Good","listText":"Good","text":"Good","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/861643412","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":861649900,"gmtCreate":1632493949500,"gmtModify":1632716818977,"author":{"id":"3586426326873853","authorId":"3586426326873853","name":"SherryVJ","avatar":"https://static.tigerbbs.com/880c2c0540d75affbc88b2abb02e579b","vip":1,"crmLevel":12,"crmLevelSwitch":0,"idStr":"3586426326873853","authorIdStr":"3586426326873853"},"htmlText":"🧐","listText":"🧐","text":"🧐","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":5,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/861649900","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":861124090,"gmtCreate":1632473168710,"gmtModify":1632720581197,"author":{"id":"3578548312677517","authorId":"3578548312677517","name":"BNBC","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"crmLevel":3,"crmLevelSwitch":0,"idStr":"3578548312677517","authorIdStr":"3578548312677517"},"htmlText":"👍","listText":"👍","text":"👍","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/861124090","repostId":1136813013,"repostType":2,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":861114824,"gmtCreate":1632469802868,"gmtModify":1632721004363,"author":{"id":"3581726174893746","authorId":"3581726174893746","name":"Sysy","avatar":"https://static.tigerbbs.com/f89400ba2f20ed80423858c0f6a3d8ee","vip":1,"crmLevel":11,"crmLevelSwitch":0,"idStr":"3581726174893746","authorIdStr":"3581726174893746"},"htmlText":"L&amp;c","listText":"L&amp;c","text":"L&c","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":1,"repostSize":0,"link":"https://laohu8.com/post/861114824","repostId":1136813013,"repostType":4,"repost":{"id":"1136813013","kind":"news","pubTimestamp":1632469518,"share":"https://www.laohu8.com/m/news/1136813013?lang=zh_CN&edition=full","pubTime":"2021-09-24 15:45","market":"us","language":"en","title":"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1136813013","media":"zerohedge","summary":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202","content":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" 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\" 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}\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\">\nNomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\"<blockquote>野村证券揭示了随着市场从抛售逆转为“大幅反弹”的“知识流”</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-09-24 15:45\n\n</h4>\n</header>\n<article>\nIn the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).<blockquote>最终，尽管FOMC dots普遍出人意料地向上移动，推动2022年dot中值表明明年加息一次（2023年和2024年各加息两次），但结果远不是野村证券的“鹰派惊喜”查理·麦克埃利戈特警告称，这可能会导致市场大幅下跌……或更高（特别是因为市场认为美联储将在加息计划完全执行之前就结束加息计划，仅给美联储1%的喘息空间）。</blockquote> <img src=\"https://static.tigerbbs.com/3e13e4ae58887c841b040aa80efd9222\" tg-width=\"960\" tg-height=\"468\" width=\"100%\" height=\"auto\">Commenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:<blockquote>野村量化分析师在评论今天上午FOMC的公告时将其总结为“意外较低”但美联储仍逐渐变得更加“鹰派”：</blockquote> <ol> <li>November taper in-line</li> <li>Taper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction</li> <li>Where a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters</li> <li>Continued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)</li> </ol> All-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"<blockquote><ol><li>11月锥度在线</li><li>缩减长度略有意外，目标是在年中结束，但仍意味着接近“预期”每月减少100亿美元/50亿美元</li><li>市场对更“鹰派”的点阵图有些怀疑，因为“短时间内多次加息”，到24年底将加息6.5次，此外还有即将到来的选民/非选民成员更替，这混淆了选民的鸽派/鹰派平衡</li><li>鲍威尔继续使用“两面三刀”的语言，再次刻意将“缩减结束”与加息开始分开，同时指出政策利率仍然宽松）</li></ol>总而言之，McElligott称美联储的这一声明“不足为奇”，它消除了我们的“事件风险”，同时避免了任何形式的“（鹰派）利率冲击”，因为10年期国债收益率继续在既定区间内波动，“尽管对曲线有明显影响，因为前端（红色）通过腹部进一步重新定价，而长端/久期反弹并收于当天的最佳水平——因为最终，采取多项措施接近取消宽松最终意味着“金融状况收紧”，这将减缓未来的经济。”</blockquote> Indeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.<blockquote>事实上，今天看一下10年期利率就会发现，市场终于觉醒了，10年期利率飙升至1.40%，这是自7月份以来的首次。</blockquote> <img src=\"https://static.tigerbbs.com/bfeec4af40cada0841b86e85780df5b2\" tg-width=\"1182\" tg-height=\"611\" width=\"100%\" height=\"auto\"><blockquote></blockquote> So with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"<blockquote>因此，野村证券策略师指出，随着利率波动较大的主要催化剂的消除，这也“进一步关闭了股票波动综合体中最近（且令人敬畏）”的波动性扩张窗口，该窗口是在上周的Op-Ex周期转向前后打开的，并带来了令人难以置信的（也是期待已久的）成交量/股票变动（SPX在3天内上涨/下跌-4.1%）。”</blockquote> This then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce<blockquote>这就把我们带回了麦克利戈特最近几天反复提出的一个观点，即“根据回溯测试进行调节”外观“反身卷卖家”为了阻止周一下午陷入困境的美国股市抛售见顶，这种抛售最明显的表现是卖家在加速下跌中收获了大量下跌，此外还有基金将实际的下跌对冲货币化，野村证券此前曾指出过这两种情况在此过程中创造了大量的Delta买入，然后将磁带从低点反弹到收盘反弹</blockquote> However, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected&nbsp; into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.<blockquote>然而，与这种下行的成交量收获和对冲货币化明显不同的是，野村证券观察到的一个小的、小步的积极发展是SPX看跌期权偏差已脱离之前99.9%ile“沸腾”McElligott现在看到SPX 1m看跌期权偏斜@96.8%ile/3m看跌期权偏斜@96.9%ile，从接近历史高点回落。</blockquote> Additionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.<blockquote>此外，该银行继续看到VIX ETN领域的“多头vol”头寸有更多获利了结，过去一周Vega的净（多头）头寸减少了8.1毫米，因为交易者将成交量飙升货币化。</blockquote> Perhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:<blockquote>也许最值得注意的是，我们还目睹了昨天股市上涨vol的一些罕见买家出现在反弹中，昨天美国现金交易时段约一小时后，3个大型SPDR标普500指数ETF看涨期权价差交易，创建约10亿美元的Delta用于购买综合对冲：</blockquote> <ul> <li>Buyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)</li> <li>Buyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)</li> <li>Buyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)</li> </ul> There were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.<blockquote><ul><li>4.3万SPDR标普500指数ETF Oct 443/452看涨期权买家价差为3.89美元（4.63亿delta，67万vega）</li><li>3.2万SPDR标普500指数ETF Nov 448/460看涨期权的买家价差为4.36美元（2.36亿delta，63.5万vega）</li><li>26K SPDR标普500指数ETF买家12月31日448/470看涨期权价差为7.91美元（2.63亿delta，90万vega）</li></ul>还有其他几个看涨表达，包括有人在“完全死亡”的中国进行看涨，FXI 1月42日买入评级，1月51日卖出7700 EEM看跌期权。</blockquote> Yet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)<blockquote>然而，尽管这种分散的看涨流又回来了，McElligott指出Vol空间仍然存在很多焦虑（由于下行需求仍然极端，倾斜仍然受到限制），而对广泛的股票上行指数/ETF/行业/行业仍然“普遍怀疑”（看涨期权倾斜仍然受到攻击）</blockquote> <ul> <li>SPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile</li> <li>QQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile</li> <li>IWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile</li> <li>FXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile</li> <li>FWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH</li> </ul> <img src=\"https://static.tigerbbs.com/9a405277832d0c5418f9ce18cab47f2a\" tg-width=\"1132\" tg-height=\"970\" width=\"100%\" height=\"auto\"><blockquote><ul><li>SPX（Mega-Cap US Eq）1m偏差为98.8%，3m偏差为99.1%；与没有上行空间的爱，100万看涨期权偏差0.5%，3m看涨期权偏差1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差为99.0%，3m偏差为96.7%；100万看涨期权的偏差为0.8%，而3m看涨期权的偏差为4.4%</li><li>IWM（罗素/小盘股）1m偏斜86.6%ile；不喜欢上行tho，100万看涨期权偏差16.5%ile</li><li>FXI（中国）1m偏差为92.8%，3m偏差为82.9%；但由于100万看涨期权偏差14.5%ile，上涨欲望仍然可以忽略不计</li><li>FWIW，唯一的“上行尾巴”/对看涨期权倾斜的出价仍然停留在那些“通胀敏感”的特殊地点，如OIH/XOP/XLE/SMH</li></ul></blockquote> Looking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.<blockquote>看着这个最新的流程菜单，McElligott指出，这里的底线是“我们在选定的成交量指标中看到了*一些*正常化（例如SPX和QQQ的期限结构，或前面提到的极端看跌期权偏差中“脱离最差”水平）……但我们继续定价“压力”，并且绝对不会给出任何接近“全部清除”的东西“这种动态很重要，因为它将继续”拖动“尾随已实现成交量然后，这可以继续限制VaR/导致净额和总额下降行为，并进一步推动来自Vol控制的近期去分配压力。</blockquote> <img src=\"https://static.tigerbbs.com/dbd02a97ec7b905563529219bf590dbe\" tg-width=\"913\" tg-height=\"565\" width=\"100%\" height=\"auto\"><blockquote></blockquote> Indeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.<blockquote>事实上，与McElligott最近的警告一致，即vol-control在这里有很多东西可以出售，他的Vol Control模型估计昨天从宇宙中卖出了98亿美元的SPX期货，总体上使过去2周的总卖出额达到202亿美元。</blockquote> <img src=\"https://static.tigerbbs.com/ff2a4fd3fd998e76c9cd851f8f9a0a56\" tg-width=\"276\" tg-height=\"223\" width=\"100%\" height=\"auto\">Yet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.<blockquote>然而，尽管成交量控制再平衡流量仍然是一个看跌问题，但交易商伽马正变得越来越有利。</blockquote> To be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.<blockquote>可以肯定的是，我们看到了SPX SPDR标普500指数ETF、QQQ和IWM仍然极端负面的交易商Gamma vs spot的影响，从昨天上午的低点上涨了+2%，McElligott称之为“痉挛性”加速流，这需要更多的购买高点去了。</blockquote> But now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...<blockquote>但现在这个位置更高了，并且增加了数十亿美元的三角洲，市场处于一个更加舒适的位置；的确，最新的期权定位分析现在显示，SPX/SPDR标普500指数ETF交易商回到了更稳定的“多头伽马vs现货”头寸（18亿美元，33.7%ile，跌破4371）...</blockquote> <img src=\"https://static.tigerbbs.com/ae6e1b267d3b21cfecc92444991c8f47\" tg-width=\"1076\" tg-height=\"660\" width=\"100%\" height=\"auto\">...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).<blockquote>...虽然QQQ中仍然“做空Gamma vs spot”，但已经接近目标（-4.999亿美元，2.6%ile，但在372.16上方转为正值，仅相差一个基点）。</blockquote> <img src=\"https://static.tigerbbs.com/7526734cf7a311888f20d6e05bf4e1db\" tg-width=\"1118\" tg-height=\"682\" width=\"100%\" height=\"auto\"><blockquote></blockquote> It is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.<blockquote>McElligott得出的结论是，正是这种伽马的归一化为我们建立了“现在稳定，以后大反弹”：随着股票继续上涨，正反馈循环出现为交易商恢复“长伽马”稳定导致更多的覆盖/期权卖出流量来自通常的嫌疑人，这反过来又导致了接下来几周当地局势的逆转”已实现成交量回升至隐含“这是最近大部分抛售背后的动力。当我们这样做时，预计会看到现在传统的更紧的每日区间和更低的rVol的恢复。向外看；展望2周到1个月，他预计“来自Vol控制类型的不稳定的重新分配流”也会加入看涨竞争，缓慢、稳定和永无止境的融化将凯旋而归。</blockquote> <img src=\"https://static.tigerbbs.com/c45fadc10cc8f22a26f544c6da3fcfd0\" tg-width=\"484\" tg-height=\"199\" width=\"100%\" height=\"auto\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally\">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":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯","SPY":"标普500ETF",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/nomura-reveals-flow-know-markets-reverse-selling-big-rally","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1136813013","content_text":"In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 2022 dot to indicate one rate hike next year (and another 2 each in 2023 and 2024), the outcome was not nearly the \"hawkish surprise\" that Nomura'sCharlie McElligott warnedcould tip the market sharply lower... or higher (especially since the market believes that the Fed will end its hiking plans well before they are fully executed, giving the Fed just 1% of breathing room).\nCommenting on the FOMC announcement this morning, the Nomura quant summarized it as a“low surprises” yet still incrementally more \"hawkish\" Fed:\n\nNovember taper in-line\nTaper length marginal surprise with goal to end mid-year, but still implies near the “expected” $10B / $5B per month reduction\nWhere a more “hawkish” dot plot is being viewed somewhat skeptically by the market on account of “a lot of hikes in a short period of time” with 6.5 hikes by end ’24, in addition to upcoming voter / non-voter member turnover which muddles dovish / hawkish balances of voters\nContinued “both sides of mouth” language from Powell, yet again going out of his way to separate the “end of tapering” from the beginning of rate hikes, while noting the policy rate as still accommodative)\n\nAll-in, McElligott called the announcement a “low surprise” Fed, which cleared us of “event-risk” while avoiding any sort of “(hawkish) Rate Shock,” as 10Y yields continue their chop inside the well-established range \"despite obvious impacts on curves of course, as front (Reds) through belly reprices further, while long end / duration rallied and closed at best levels on the day—because ultimately, taking multple steps closer to removing accomodation ultimately means “tighter financial conditions” that will moderate the economy down the road.\"\nIndeed, one look at the 10Y year today suggests that the market is finally waking up with the 10Y surging to 1.40%, the first time since July.\n\nSo with a removal of the primary catalyst for larger rate volatility, the Nomura strategist notes this also \"further closes the recent (and awesome) “window for volatility expansion” within the Equities Vol complex, which opened around last week’s Op-Ex cycle turn, and brought with it incredible (and long-awaited) Vol / Stock movement (SPX -4.1% in 3 days hi / lo).\"\nThis then takes us back to a point McElligott has made repeatedly in recent days, namely the “conditioned per back-test”appearance of“reflexive vol sellers”in arresting the crescendoing US Equities selloff peaking which were cratering Monday afternoon, which materialized most notably in the form of Put sellers harvesting rich downside Vols into the accelerating drawdown, in addition to funds monetizing their actual downside hedges, both of which Nomura pointed out beforecreated lots of Delta to buy in the process which then rallied the tape off the lows into the closing bounce\nHowever, in a notable departure from this downside Vol harvesting and hedge monetization, one small, baby-step positive development observed by Nomura is that theSPX Put Skew has come off that prior 99.9%ile “boil”and inflected  into something at least a touch less extreme, with McElligott now seeing SPX 1m Put Skew @ 96.8%ile / 3m Put Skew @ 96.9%ile, down from near record highs.\nAdditionally, the bank continues to seemore profit-taking from “long vol” positions in the VIX ETN space,with the Net (long) Vega position over the past week having decreased by 8.1mm as traders monetized into the Vol spike.\nPerhaps most notably, we have also witnessed saw the appearance of some rare buyers of equity upside vol yesterday into the rally, when about an hour into yesterday’s US cash session, 3 large SPY Call Spreads traded,creating ~$1 billion of Delta to buy across aggregated hedges:\n\nBuyer of 43k SPY Oct 443/452 Call Spreads for $3.89 (463M delta, 670k vega)\nBuyer of 32k SPY Nov 448/460 Call Spreads for $4.36 (236M delta, 635k vega)\nBuyer of 26k SPY Dec 31st 448/470 Call Spreads for $7.91 (263M delta, 900k vega)\n\nThere were several other bullish expressions, including someone taking bullish shots in the \"utterly left-for-dead\" China, with FXI Jan 42 Calls bought and the sale of 7700 EEM Jan 51 Puts.\nYet despite the return of such scattered bullish flows, McElligott notes thatthere remains much angst in the Vol space(Skew still roofed as downside demand remaining extreme), versus still “pervasive skepticism” towards broad Equities upside index / ETF / sectors / industries (Call Skew still nuked)\n\nSPX (Mega-Cap US Eq) 1m Skew 98.8%ile, 3m Skew 99.1%ile; vs no upside love, with 1m Call Skew 0.5%ile, 3m Call Skew 1.3%ile\nQQQ (Nasdaq / Secular Growth / Tech) 1m Skew 99.0%ile, 3m Skew 96.7%ile; while 1m Call Skew just nowhere at 0.8%ile, 3m Call Skew 4.4%ile\nIWM (Russell / Small Cap) 1m Skew 86.6%ile; no love for upside tho with 1m Call Skew 16.5%ile\nFXI (China) 1m Skew 92.8%ile, 3m Skew 82.9%ile; but still seeing negligible desire for upside with 1m Call Skew 14.5%ile\nFWIW, the only “upside tail” / bid to Call Skew remains parked in those “inflation sensitive” idiosycratic spots like OIH / XOP / XLE / SMH\n\n\nLooking at this latest flow menu, McElligott notes that the bottom line here is that \"we are seeing *some* normalization in select vol metrics (e.g. term structure in SPX and QQQ, or aforementioned “off the worst” levels in extreme Put Skew)…but we continue to price-in “stress” and definitely not giving anything close to an “all clear” just yet.\" This dynamic matters because it will continue to “drag up” trailing realized volwhich can then continue to both constrain VaR/lead to netting- and gross-down behavior as well as drive further near-term de-allocation pressure from Vol Control.\n\nIndeed, and in keeping with McElligott's recent warning that vol-control has a lot to sell here, his Vol Control model estimates a sale of $9.8B SPX futs yesterday from the universe, in aggregate bringing total selling to $20.2B over the past 2 weeks.\nYet while vol-control rebalancing flows remain a bearish concern, dealer Gamma is turning increasingly favorable.\nTo be sure, we saw the impact of the still-extreme negative Dealer Gamma vs spot across SPX SPY, QQQ and IWM in the +2% rally off the yesterday morning lows, with what McElligott dubbed “spastic” accelerant flow which required more buying the higher spot went.\nBut now that spot is higher and billions in Delta has been added, the market is in a far more comfortable spot; indeed,the latest options positioning analytics now shows that SPX / SPY Dealers are back in a more stable “long Gamma vs spot” position ($1.8B, 33.7%ile, flips below 4371)...\n...while still “short Gamma vs spot” in QQQ, but getting close to home (-$499.9mm, 2.6%ile, but flips positive above 372.16, which is mere basis points away).\n\nIt is this normalization in gamma that McElligott concludes sets us up for the“stability now, big rally later”:as stocks continue to rise, the positive feedback loop emerges asthe resumption of “long Gamma” stabilization from Dealers beget more overwriting/ options selling flow from the usual suspects,which in turn leads to a reversal over the next few weeks out of what has been this local “realized vol rallying up to implied”dynamic that is behind much of the recent selling. When we do, expect to see the now traditional resumption of tighter daily ranges and lower rVol. Looking out; looking out 2 weeks to 1 month is when he expects \"lumpy re-allocation flows from Vol Control types\" who also join the bullish fray and the slow, steady and never-ending meltup makes a triumphal return.","news_type":1,"symbols_score_info":{".IXIC":0.9,".SPX":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":5981681,"gmtCreate":1632470535270,"gmtModify":1634787225403,"authorId":3573389522852737,"author":{"id":3573389522852737,"idStr":"3573389522852737","authorId":3573389522852737,"name":"LinHart","avatar":"https://static.tigerbbs.com/fbf1f25929c3988f5317075647c2ecad","vip":1,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":861114824,"type":1,"supId":0,"prevId":0,"content":"Ok","text":"Ok","html":"Ok"}],"langContent":"CN"}],"hasMoreComments":true,"newsSizeData":{"likeSize":107,"commentSize":13,"repostSize":0,"favoriteSize":0,"likeStatus":false,"favoriteStatus":false},"isCrawlerRequest":true}