i can't un_老虎社区_美港股上老虎

NeshiNeo
2021-09-24

i can't understand this. Guess i have a lot more to learn =(

Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To "Big Rally"<blockquote>随着市场从抛售转向“大幅反弹”，野村证券揭示了“需要了解的流程”</blockquote>

In the end, despite a generally unexpected upward shift in the FOMC dots which pushed the median 202

Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To "Big Rally"<blockquote>随着市场从抛售转向“大幅反弹”，野村证券揭示了“需要了解的流程”</blockquote>

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{"i18n":{"language":"zh_CN"},"data":{"magic":2,"id":861670761,"tweetId":"861670761","gmtCreate":1632494602753,"gmtModify":1632716626912,"author":{"id":4087560374473260,"idStr":"4087560374473260","authorId":4087560374473260,"authorIdStr":"4087560374473260","name":"NeshiNeo","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[],"fanSize":1,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"title":"","extraTitle":"","html":"<html><head></head><body>i can't understand this. Guess i have a lot more to learn =(</body></html>","htmlText":"<html><head></head><body>i can't understand this. Guess i have a lot more to learn =(</body></html>","text":"i can't understand this. Guess i have a lot more to learn =(","highlighted":1,"essential":1,"paper":1,"likeSize":3,"commentSize":0,"repostSize":0,"favoriteSize":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>随着市场从抛售转向“大幅反弹”，野村证券揭示了“需要了解的流程”</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，尽管联邦公开市场委员会（FOMC）的点数总体上出乎意料地上移，推动2022年点数中值表明明年加息一次（2023年和2024年各加息两次），但结果远非野村证券（Nomura）的查理·麦切利戈特（sCharlie McElligott）警告的“鹰派惊喜”，这可能会导致市场大幅走低……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很久就结束这些计划，只给美联储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>野村证券分析师在评论今天上午的联邦公开市场委员会公告时将其总结为“低惊喜”但美联储仍在逐渐变得更加“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>十一月锥度直列</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100亿美元/50亿美元的削减。</li><li>市场对更为“鹰派”的点阵图持怀疑态度，因为“短期内多次加息”，到 2024 年底将加息 6.5 次，此外，即将到来的选民/非选民成员更替也打乱了鸽派/鹰派选民的平衡。</li><li>鲍威尔继续使用 “两面派 ”的语言，再次不遗余力地将 “缩减规模的结束 ”与加息的开始区分开来，同时指出政策利率仍然宽松）。</li></ol>总而言之，麦切利戈特称美联储的这一声明是一个 “低惊喜”，它让我们摆脱了 “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范围内下跌，“尽管对曲线产生了明显的影响，当然，随着前端（红色）通过腹部重新定价进一步，而长端/久期则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政策最终意味着 “金融条件收紧”，这将在未来缓和经济”。</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，看看今天的 10 年期就会发现，市场终于醒来，10 年期国债自 7 月份以来首次飙升至 1.40%。</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，随着利率波动加剧的主要催化剂被消除，野村证券的策略师指出，这也“进一步关闭了股票交易量复合体中近期（且令人敬畏的）‘波动性扩张窗口’，该复合体在上周的 Op-Ex 周期转折点前后开启，并带来了令人难以置信的（也是期待已久的）交易量/股票走势（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>这让我们回到麦切利戈特最近几天反复强调的一点，即“根据回顾性试验条件”外观“反身卷卖家”在阻止周一下午不断升温的美国股市抛售达到顶峰时，最明显的表现是卖方在加速回撤中收获了大量下行资金，此外还有基金将其实际下行对冲货币化，野村证券此前曾指出过这两者在这个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，与这种不利的收获和对冲货币化明显不同，野村证券观察到的一个小的、小步的积极发展是SPX Put Skew 已经摆脱了之前 99.9% 的“沸腾”趋势。并且至少变得不那么极端，McElligott 现在看到 SPX 1m Put Skew @ 96.8% ile / 3m Put Skew @ 96.9% ile，低于接近历史高点的水平。</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，该银行继续看到从 VIX ETN 领域的“多头 ”头寸中获利了结更多，过去一周，随着交易者将交易量飙升货币化，Vega 的净（多头）头寸减少了 8.1 毫米。</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，我们还目睹了一些罕见的股票上涨空间买家在昨天的反弹中出现，当时在昨天美国现金交易开始约一小时后，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 来跨越聚合对冲：</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>43k SPDR标普500指数ETF Oct 443/452 看涨期权价差买家，售价 3.89 美元（463M delta，670k vega）</li><li>32k SPDR标普500指数ETF 11 月 448/460 看涨期权价差买家，售价 4.36 美元（236M delta，635k vega）</li><li>26k SPDR标普500指数ETF 12 月 31 日 448/470 看涨期权价差买家，售价 7.91 美元（2.63 亿 delta，90 万 vega）</li></ul>还有其他一些看涨的表情，包括有人在“完全死了”的中国看涨，FXI 1 月 42 日评级买入，7700 份 EEM 1 月 51 日看跌期权卖出。</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趋势回归，麦切利戈特指出体积空间里仍然有很多焦虑（由于下行需求依然极端，偏差依然存在），而对股市上行指数/ETF/行业/行业的“普遍怀疑”仍然存在（看涨期权偏差依然存在）。</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（大型股美国均值）1m 偏差为 98.8%，3m 偏差为 99.1%；vs 没有上涨空间的爱，1m 看涨期权倾斜 0.5%，3m 看涨期权倾斜 1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差99.0%，3m偏差96.7%；1m 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偏差为86.6%；尽管有 1m 看涨期权偏斜 16.5%，但不喜欢上行空间</li><li>FXI（中国）1m倾斜92.8%，3m倾斜82.9%；但 1m 看涨期权偏斜 14.5% 的上涨欲望仍然可以忽略不计</li><li>FWIW 是唯一的“上行尾巴”/看涨期权倾斜市场，但它仍然停留在 OIH / XOP / XLE / SMH 等“通胀敏感”的特质点。</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“我们看到部分交易量指标出现了一些正常化（例如，SPX 和 QQQ 中的期限结构，或者前面提到的极端看跌偏差中的“偏离最差”水平）……但我们继续对“压力”进行定价，目前绝对不会给出任何接近“完全明确”的结果。“这种动态很重要，因为它将继续”拖动”跟踪实现体积然后，这可以继续限制VaR/导致净额和总额下降行为，并推动来自音量控制的进一步近期去分配压力。</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，为了与 McElligott 最近的警告一致，即 vol-control 在这里有很多值得出售的东西，他的 Vol Control 模型估计昨天 universe 出售了 9.8B 美元的 SPX futs，过去 2 周的总销售额达到 20.2B 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，尽管体积控制再平衡流量仍然是一个看跌的担忧，但经销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指数、QQQ 指数和 IWM 指数在昨天上午低点的基础上反弹 +2% 的影响，McElligott 称之为 “痉挛性 ”加速流动，这需要更多买入较高的现货。</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>但现在该现货更高，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显示，SPX/SPDR标普500指数ETF交易商已恢复到更稳定的“长期伽马与现货”仓位（18亿美元，33.7%，跌破4371点）……</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>...虽然在 QQQ 中仍然是“短伽马与现货”，但已接近本土（-4.999 亿美元，2.6%，但在 372.16 上方转正，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>麦切利戈特得出结论，正是这种伽马归一化为我们奠定了基础“现在稳定，以后大反弹”：随着股票持续上涨，正反馈循环出现交易商恢复“长伽马”稳定会引发更多来自通常嫌疑人的超额认购/期权卖出流，这反过来又会导致未来几周内当地局势发生逆转。意识到vol集结到暗示”近期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范围和更低的rVol的恢复。向外看；展望 2 周到 1 个月，他预计“来自音量控制类型的重新分配流”也会加入看涨战斗，而缓慢、稳定且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>随着市场从抛售转向“大幅反弹”，野村证券揭示了“需要了解的流程”</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，尽管联邦公开市场委员会（FOMC）的点数总体上出乎意料地上移，推动2022年点数中值表明明年加息一次（2023年和2024年各加息两次），但结果远非野村证券（Nomura）的查理·麦切利戈特（sCharlie McElligott）警告的“鹰派惊喜”，这可能会导致市场大幅走低……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很久就结束这些计划，只给美联储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>野村证券分析师在评论今天上午的联邦公开市场委员会公告时将其总结为“低惊喜”但美联储仍在逐渐变得更加“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>十一月锥度直列</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100亿美元/50亿美元的削减。</li><li>市场对更为“鹰派”的点阵图持怀疑态度，因为“短期内多次加息”，到 2024 年底将加息 6.5 次，此外，即将到来的选民/非选民成员更替也打乱了鸽派/鹰派选民的平衡。</li><li>鲍威尔继续使用 “两面派 ”的语言，再次不遗余力地将 “缩减规模的结束 ”与加息的开始区分开来，同时指出政策利率仍然宽松）。</li></ol>总而言之，麦切利戈特称美联储的这一声明是一个 “低惊喜”，它让我们摆脱了 “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范围内下跌，“尽管对曲线产生了明显的影响，当然，随着前端（红色）通过腹部重新定价进一步，而长端/久期则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政策最终意味着 “金融条件收紧”，这将在未来缓和经济”。</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，看看今天的 10 年期就会发现，市场终于醒来，10 年期国债自 7 月份以来首次飙升至 1.40%。</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，随着利率波动加剧的主要催化剂被消除，野村证券的策略师指出，这也“进一步关闭了股票交易量复合体中近期（且令人敬畏的）‘波动性扩张窗口’，该复合体在上周的 Op-Ex 周期转折点前后开启，并带来了令人难以置信的（也是期待已久的）交易量/股票走势（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>这让我们回到麦切利戈特最近几天反复强调的一点，即“根据回顾性试验条件”外观“反身卷卖家”在阻止周一下午不断升温的美国股市抛售达到顶峰时，最明显的表现是卖方在加速回撤中收获了大量下行资金，此外还有基金将其实际下行对冲货币化，野村证券此前曾指出过这两者在这个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，与这种不利的收获和对冲货币化明显不同，野村证券观察到的一个小的、小步的积极发展是SPX Put Skew 已经摆脱了之前 99.9% 的“沸腾”趋势。并且至少变得不那么极端，McElligott 现在看到 SPX 1m Put Skew @ 96.8% ile / 3m Put Skew @ 96.9% ile，低于接近历史高点的水平。</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，该银行继续看到从 VIX ETN 领域的“多头 ”头寸中获利了结更多，过去一周，随着交易者将交易量飙升货币化，Vega 的净（多头）头寸减少了 8.1 毫米。</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，我们还目睹了一些罕见的股票上涨空间买家在昨天的反弹中出现，当时在昨天美国现金交易开始约一小时后，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 来跨越聚合对冲：</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>43k SPDR标普500指数ETF Oct 443/452 看涨期权价差买家，售价 3.89 美元（463M delta，670k vega）</li><li>32k SPDR标普500指数ETF 11 月 448/460 看涨期权价差买家，售价 4.36 美元（236M delta，635k vega）</li><li>26k SPDR标普500指数ETF 12 月 31 日 448/470 看涨期权价差买家，售价 7.91 美元（2.63 亿 delta，90 万 vega）</li></ul>还有其他一些看涨的表情，包括有人在“完全死了”的中国看涨，FXI 1 月 42 日评级买入，7700 份 EEM 1 月 51 日看跌期权卖出。</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趋势回归，麦切利戈特指出体积空间里仍然有很多焦虑（由于下行需求依然极端，偏差依然存在），而对股市上行指数/ETF/行业/行业的“普遍怀疑”仍然存在（看涨期权偏差依然存在）。</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（大型股美国均值）1m 偏差为 98.8%，3m 偏差为 99.1%；vs 没有上涨空间的爱，1m 看涨期权倾斜 0.5%，3m 看涨期权倾斜 1.3%</li><li>QQQ（纳斯达克/长期增长/科技）1m偏差99.0%，3m偏差96.7%；1m 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偏差为86.6%；尽管有 1m 看涨期权偏斜 16.5%，但不喜欢上行空间</li><li>FXI（中国）1m倾斜92.8%，3m倾斜82.9%；但 1m 看涨期权偏斜 14.5% 的上涨欲望仍然可以忽略不计</li><li>FWIW 是唯一的“上行尾巴”/看涨期权倾斜市场，但它仍然停留在 OIH / XOP / XLE / SMH 等“通胀敏感”的特质点。</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“我们看到部分交易量指标出现了一些正常化（例如，SPX 和 QQQ 中的期限结构，或者前面提到的极端看跌偏差中的“偏离最差”水平）……但我们继续对“压力”进行定价，目前绝对不会给出任何接近“完全明确”的结果。“这种动态很重要，因为它将继续”拖动”跟踪实现体积然后，这可以继续限制VaR/导致净额和总额下降行为，并推动来自音量控制的进一步近期去分配压力。</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，为了与 McElligott 最近的警告一致，即 vol-control 在这里有很多值得出售的东西，他的 Vol Control 模型估计昨天 universe 出售了 9.8B 美元的 SPX futs，过去 2 周的总销售额达到 20.2B 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，尽管体积控制再平衡流量仍然是一个看跌的担忧，但经销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指数、QQQ 指数和 IWM 指数在昨天上午低点的基础上反弹 +2% 的影响，McElligott 称之为 “痉挛性 ”加速流动，这需要更多买入较高的现货。</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>但现在该现货更高，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显示，SPX/SPDR标普500指数ETF交易商已恢复到更稳定的“长期伽马与现货”仓位（18亿美元，33.7%，跌破4371点）……</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>...虽然在 QQQ 中仍然是“短伽马与现货”，但已接近本土（-4.999 亿美元，2.6%，但在 372.16 上方转正，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>麦切利戈特得出结论，正是这种伽马归一化为我们奠定了基础“现在稳定，以后大反弹”：随着股票持续上涨，正反馈循环出现交易商恢复“长伽马”稳定会引发更多来自通常嫌疑人的超额认购/期权卖出流，这反过来又会导致未来几周内当地局势发生逆转。意识到vol集结到暗示”近期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范围和更低的rVol的恢复。向外看；展望 2 周到 1 个月，他预计“来自音量控制类型的重新分配流”也会加入看涨战斗，而缓慢、稳定且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 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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,"SPY":0.9,".SPX":0.9,".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":1820,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"CN","currentLanguage":"CN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":48,"xxTargetLangEnum":"ZH_CN"},"commentList":[],"hasMoreComment":false,"orderType":2}