Macro and Flows Update: July 2023 - e19

Summary

Dans cette vidéo, l'orateur discute des tendances récentes des marchés financiers en juillet, en se concentrant sur la dynamique des flux, la volatilité du marché et les forces macroéconomiques. Il souligne l'importance des périodes de fin de mois et de début de mois pour les réinvestissements, ainsi que l'impact des produits structurés sur l'offre de volatilité. Malgré un contexte de liquidité négative, les marchés continuent de montrer des signes de soutien temporaire, notamment à travers les mouvements des options et des produits dérivés. L'orateur insiste sur la nécessité d'adopter une approche flexible et adaptable face à un marché de plus en plus volatile.

Takeaways

• 📈 La供给的波动性(Vega)在7月份非常充足，尽管市场有所下降，但并未达到预期的去风险水平。
• 📅 节假日和季度期权到期(opex)对市场流动性有显著影响，尤其是在6月和7月之间。
• 💹 市场在6月期权到期后的第一周下跌后，出现了逆转看空的倾向，市场情绪转为更加建设性。
• 💵 市场在月末月初的流动性增加，因为更高的抵押品价值导致股票回购和再投资增加。
• 📊 市场上涨和波动率上升是市场可能见顶的信号，尽管这些信号可能比预期持续更长时间。
• 🚀 在7月期权到期前的一周，市场流动性增加，但之后需要更加谨慎。
• 📉 7月19日至21日被视为潜在的市场疲软窗口，是减少多头仓位并考虑做空的时机。
• 🌐 宏观流动性状况不佳，美联储和财政部缩短了债券发行的期限，以减缓TGA账户的再填充速度。
• 📚 市场对期权和衍生品的需求增加，导致波动性供应(Vega Supply)的粘性，这对市场产生了显著影响。
• 🔄 结构性产品发行量的增加导致波动性供应增加，这可能会在市场下滑时自然地成为波动性的买家。

Q & A

Quel est le thème principal de cette vidéo ?

Le thème principal de cette vidéo est une mise à jour sur les tendances du marché et l'approvisionnement en actions, en juillet, y compris les facteurs tels que l'Opex, les vacances, les retournements des marchés et l'impact des produits structurés sur l'approvisionnement en options.

Pourquoi l'approvisionnement en actions a-t-il été abondant malgré une baisse du marché ?

L'approvisionnement en actions a été abondant car, bien que le marché ait connu une baisse, cela n'a pas été suffisant pour déclencher la liquidation escomptée, et d'autres facteurs tels que les vacances et les achats de remboursement d'actions ont soutenu le marché.

Quels étaient les facteurs qui ont favorisé un changement d'attitude constructive sur le marché après le premier week-end de juin ?

Les facteurs incluent les vacances à venir, les achats de remboursement d'actions et les flux de fin de mois et de début de mois qui sont historiquement positifs pour les marchés.

Quel est le rôle des vacances dans les tendances du marché ?

Les vacances entraînent souvent une baisse de la liquidité et des achats de remboursement d'actions, ce qui peut soutenir le marché.

Pourquoi les achats de fin de mois et de début de mois sont-ils importants ?

Les achats de fin de mois et de début de mois sont importants car ils représentent souvent une reprise importante d'actions et de réinvestissement basée sur une garantie plus élevée.

Quels sont les signaux qui indiquent un changement de narratif sur le marché ?

Les signaux incluent une augmentation de l'optimisme général, une augmentation des attentes des banques et une hausse du prix qui influence la narratif.

Quels sont les défis pour les investisseurs dans l'environnement actuel ?

Les défis incluent la compréhension des flux macroéconomiques, la gestion des risques liés aux produits structurés et la compréhension des tendances de l'approvisionnement en options.

Quels sont les effets des produits structurés sur l'approvisionnement en options ?

Les produits structurés augmentent l'approvisionnement en options car la plupart d'entre eux écrivent des options sur les banques qui doivent ensuite se couvrir sur les marchés d'options.

Pourquoi l'analyse de l'approvisionnement en options est-elle importante ?

L'analyse de l'approvisionnement en options est importante car elle peut indiquer la direction potentielle du marché et les forces qui peuvent le pousser vers la hausse ou la baisse.

Quels sont les facteurs qui pourraient conduire à une décompression des marchés ?

Les facteurs qui pourraient conduire à une décompression incluent une baisse continue de la volatilité des options, un changement dans les positions de court et une augmentation de la volatilité du marché.

Quels sont les conseils donnés aux investisseurs pour gérer les marchés actuels ?

Les conseils incluent d'être fluide comme l'eau, de suivre les flux constructifs où c'est approprié et de prendre ses opportunités de la autre côté lorsque c'est approprié.

Outlines

00:00

📈 Analyse du marché et des stratégies d'investissement

Le paragraphe 1 discute de l'abondance d'approvisionnement en B Supply en juillet malgré une baisse de 100 points sur une semaine. L'attente d'une liquidation du marché n'a pas eu lieu, et l'auteur suggère de réévaluer les positions courtes après le premier trimestre. Il mentionne les vacances et les achats de retraits de titres en juillet qui ont soutenu le marché. Il explique également l'importance des flux de fin de mois et début de mois, qui sont historiquement positifs pour les investissements dans les actions. Le paragraphe conclut sur la nécessité d'être prudent après la première semaine de juillet en raison de l'augmentation de la volatilité et des risques potentiels.

05:01

🌐 Vue d'ensemble de la liquidité macroéconomique

Le paragraphe 2 met l'accent sur la situation de la liquidité macroéconomique, qui est décrite comme préoccupante. Il est question de la réduction de la durée des émissions par la Réserve fédérale et le Trésor, ce qui ralentit le remboursement du TGA. L'auteur explique que cela affecte la liquidité du marché. Il mentionne également une déviation de la corrélation entre les flux de liquidité et les performances du marché, ce qui est dû à d'autres flux structurels. Le paragraphe aborde également le changement de narratif et de positionnement dans le marché, ainsi que l'importance de la volatilité et de la pression sur les positions courtes pour déterminer les opportunités d'investissement.

10:02

📊 Impact des produits structurés sur l'approvisionnement en B Supply

Le paragraphe 3 explore l'augmentation des produits structurés et leur impact sur l'approvisionnement en B Supply. Il explique que les taux d'intérêt sous-jacents élevés permettent d'écrire des options hors de l'argent avec des rendements attrayants. Cela crée un appui pour le marché des actions, qui est principalement basé sur les produits structurés. L'auteur mentionne que les produits structurés et les options liées à l'indice S&P 500 sont très soutenus, ce qui crée une dispersion historique et une rotation dans le marché. Il conclut en disant que cette situation peut durer plus longtemps que prévu, mais que des changements sont nécessaires pour que le marché se débarrasse de cette pression.

15:05

📖 Avis juridique et financier

Le paragraphe 4 est une déclaration juridique qui précise que le contenu du vidéo n'est pas une offre de vente ou une sollicitation d'achat, ni un conseil en investissement. Il indique que les discussions sur les produits financiers ne sont pas adaptées à tous les investisseurs et que chaque personne est responsable de déterminer si une stratégie d'investissement ou un produit financier est approprié pour elle en fonction de ses objectifs et de sa tolérance au risque. Il recommande de consulter des professionnels pour obtenir des conseils sur les questions juridiques, fiscales et financières spécifiques.

Keywords

💡Macro

Macro fait référence à l'analyse économique et financière à l'échelle mondiale ou nationale, en prenant en compte les grandes tendances et les facteurs qui influencent les marchés. Dans le script, l'auteur discute des tendances du marché et des stratégies d'investissement en fonction des données macroéconomiques.

💡Liquidité

La liquidité est la capacité d'un actif à être vendu sans que sa valeur ne soit significativement affectée. Le script mentionne l'augmentation de la liquidité dans le marché en raison des investissements et des rachat d'actions, ce qui influence directement la dynamique des marchés financiers.

💡Opex

Opex fait référence aux options d'exercice. Dans le contexte du script, c'est l'événement où les options expirent, ce qui peut entraîner des mouvements de marché significatifs. L'auteur mentionne des périodes spécifiques autour de l'Opex comme étant importantes pour les investisseurs.

💡Volup

Volup est une contraction de 'volatilité des prix à la hausse'. Le script discute de la volup comme étant un phénomène où la volatilité augmente avec la hausse des prix, ce qui peut conduire à des opportunités d'investissement ou des risques pour les traders.

💡VIX

Le VIX, ou 'Fear Gauge', est un indicateur des marchés qui mesure l'expectative de volatilité à court terme du marché boursier américain. Le script mentionne le VIX comme un facteur clé à surveiller pour comprendre les tendances futures du marché.

💡Structured Products

Les produits structurés sont des instruments financiers complexes qui combinent des actifs financiers de base pour offrir des caractéristiques spécifiques, comme des taux de rendement élevés ou des protections contre les baisses de prix. Le script explique comment l'émission de tels produits peut influencer la liquidité et le comportement du marché.

💡Gamma

Gamma est un terme utilisé en trading des options pour décrire le changement de delta par rapport à un changement dans le prix de l'actif sous-jacent. Le script mentionne que les marchés makers et les banques ont de grandes positions en gamma, ce qui signifie qu'ils doivent gérer la volatilité et les risques associés.

💡TGA

Le TGA (Treasury General Account) est le compte général du Trésor américain utilisé pour gérer les recettes et les dépenses gouvernementales. Le script discute des implications de la gestion du TGA sur la liquidité du marché et les politiques monétaires.

💡V Supply

V Supply fait référence à l'offre de volatilité dans le marché des options. Le script explique que l'augmentation de l'offre de volatilité peut avoir un impact sur les prix des options et la direction des marchés financiers.

💡Delta

Delta est un terme utilisé en trading des options pour mesurer la sensibilité d'une option par rapport aux changements de prix de l'actif sous-jacent. Le script mentionne le delta comme un facteur clé dans la gestion des positions par les traders et les market makers.

💡Correlation

La corrélation est une mesure statistique qui indique la force et la direction de l'association entre deux ensembles de données. Dans le script, l'auteur discute de la corrélation entre les mouvements du marché et les flux de liquidité, qui peut influencer les performances des investissements.

Highlights

B Supply has been very well supplied despite market expectations.

Market did not unpin enough despite a 100 point decline.

Reversed shorts and became more constructive on markets after June Opex.

Three days of holidays within a four-week period led to significant buyback flows.

July 4th holiday causing Monday to be effectively off, accelerating market flows.

End of month, beginning of month flows historically represent major buybacks.

$40 trillion of US equities alone could see a $2.4 trillion increase in collateral with a 6% rise.

Up months are very positive into end of month beginning of month.

Risk parity and other rebalances are considerations for market positioning.

It was not the time to continue shorting after a 2.5% gain.

Flows are strongest into the Monday, Wednesday of Opex and then slow down.

Short interest squeeze on tech names indicated it was not the time to short.

Market up, vol up in the last several days indicates continued supportive flows.

Expect flows to be supportive until Wednesday before Opex.

19th to 21st of July called as a potential week spot for market change.

Macro liquidity picture is very ugly with the Fed shortening the duration of issuance.

Liquidity models show a strong representation of natural flows in and out of the market.

Correlation to liquidity flows has been very strong for the last seven years.

Narrative is changing with positioning and sentiment turning bullish.

Market up, vol up is a sign of a potential topping process.

Historically, tops are formed with high volatility and big moves at the end.

VIX bation coming up, indicating a need for caution.

V Supply is primarily driven by Structured Products.

Derivatives and options issuance have changed the market dynamics from the 1970s.

Movement into Structured Products is having a significant impact on market flows.

S&P 500 is pinned due to massive amounts of gamma and vega from Structured Products.

Historical dispersion and rotation into short beta names like Nvidia due to long call purchasing.

Unwinding of positions and push in index due to pinning of vega supply.

Need to see structured products roll off for a change in vega supply.

Market up, vol up is important for a change in narrative and positioning.

Potential energy building behind vega supply could lead to a significant market move.

Transcripts

hello and welcome back to another macro

and flows update video

here we are in July uh and as we talked

about last month um the B Supply has

been very very well

supplied uh you know despite what we

were hoping to see is some unpinning

with some marketup volup like we had had

seen there going into uh the final

quarterly Opex in June uh as the market

came down we were very very vocal kind

of publicly about how that the VA Supply

despite the kind of 100 Point decline

that we saw over the course of week was

not enough uh unpinned to really have us

see kind of the liquidation that we we

were hoping uh might might be you know

the markets might be ready for um not

surprisingly uh the other reason that it

made sense to kind of uh reverse shorts

and and be more constructive on markets

after that first week after June

Opex was a couple things one we had uh

essentially three days within a a a

four-week period um of of holidays um

that's a significant amount of bana and

charm buyback uh supportive flows

underneath the market with v compressed

that we knew were coming both from

juneth um as well as the July 4th

holiday falling on a Tuesday um which

meant Monday was essentially off as well

that was a major acceleration important

in terms of timing as well because uh

right behind that after a six and a

half% month right we were going into end

of month beginning of month flows period

which we know historically especially in

upm months represents a major buyback of

uh of stock and reinvestment um based on

higher collateral what do we mean there

uh you know $40 trillion doar think

about that $40 trillion of us equities

alone never mind all the other assets

that are tied to it those $40 trillion

if they go up by 6% right that's a

$2.4 trillion doll increase in

collateral in the market and that

increases the amount of liquidity in the

market dramatically um and a lot of that

goes back to work at the end of the

month beginning of the month so up

months are very positive into end of

month beginning of month historically um

there are some um other uh

considerations obviously in terms of

risk parity other rebalances that other

people were focused on that was really

our primary focus there as well so

falling after that though you know

amidst those two holidays um and and the

increase liquidity given the amount of B

Supply pretty clear that that it was not

the time to kind of uh continue to short

after after a nice two and a half

percent gain there so that was um that

was the real uh the turn um not

surprising to hear after that as well

what do you get into that bonana charm

week we talk so much about that second

week before Opex where flows are the

strongest really into the Monday

Wednesday of Opex then they kind of slow

down until uh you know turn into more

charm flows but given the squeeze on

short interest that we've been seeing

uh you know the uh the issues we've been

you know seeing in terms of positioning

and particularly in the tech names the

amount of uh short ball that we're

seeing in in some of those highflyer um

names it was pretty clear that this was

not the time to kind of uh get out in

front of that so we've been constructive

uh out in front of those vona charm

flows those end of month beginning of

month flows and and that vona charm week

um but here we go again uh market up

ball up the last several days um you

know we're doing this video a little bit

earlier than usual so it's the the

Friday before Opex I usually we do it

about a week

later um but this is uh you know we

would expect that these flows continue

to be very supportive at least until

Wednesday morning um you know with the

with vix um vix bation coming up on that

day um and then uh you know you have to

start being a little bit more cautious

um but again uh 19th of jun July we

called this out as a potential week spot

uh 19th into the 21st uh would be uh

would be the windows to be particularly

um kind of start to to be a little less

aggressive on the long side and start

looking to potentially take shorts

especially if we continue to see market

up volup as we're starting to see and

the market continue to push that two

standard deviation up level of the

20-day SMA so those are very important

levels and things to think about in

terms of uh momentum and push um again

though if we can't see volum pinning um

these things can go longer than you

expect the markets can stay irrational

longer than we you know people can stay

insolvent you have to be like water as

we always preach you know you have to be

very very uh willing to go with the

flows in the windows where it's

constructive and then take your shots on

the other side when appropriate again

the macro liquidity picture though to

kind of circle back is very very ugly

they fed uh purposely knowing that the

TGA um was going to be have to be

refilled um shortened the duration and

not just the the FED but the treasury

shortened the duration of issuance they

drop the amount of issuance to slow it

down that doesn't stop the amount that

needs to be refilled in the TGA it just

extends it and slows it down liquidity

if you look at liquidity models which

are you know some people argue or

foolish um we very much believe that

those things matter um it it is a strong

representation of natural flows coming

in and the out of the market and it's

part of the equation not all the

equation but you are starting to see

jobs

a real deviation of what has otherwise

been a very very strong 0 N4 correlation

in the last uh seven years or so um so

very very strong correlation to

liquidity flows and those are turning

down and I've been aggressively turning

down there is a bit of a deviation those

happen for a while um they have they're

generally due to other structural flows

like we've talked about right uh that

that particularly um here with uh with

Opex um flows that we saw June into July

and again here going to July Opex and

the squeeze of short interest which has

been high until more recently but we are

now importantly to say seeing a

narrative change it is very clear across

the board we're seeing positioning

change sentiment is turning uh banks are

you know ratcheting up expectations as

they always do at the end of these

things um you seeing across the board

more bullishness um you know price uh

drives narrative uh it's not really the

other way around so this is what we've

been looking for we've been looking for

market up vop so we're starting to see

the clues and the things we have been

waiting for really since June and these

are good signs uh that that a a more

good signs depending on who you're

asking but you know good signs that a

more topping process is actually uh

coming these things though like I said

could stretch uh historically speaking

uh tops are formed um with with high

volatility with some of the biggest

moves coming at the end um and so it

makes it you know on purpose actually

reflexively U difficult to short it

makes it uh you know when the highest

gains are at the very end of a cycle um

before big uh structural decline those

are things that uh make it like I said

very hard to capture the upside for

people and also hard to capture the

downside um into that last part uh the

NASDAQ in 1999 in

2000 almost doubled right um in about

nine months so a significant sign ific

move I mean I think about a double

before declining more than 90% that's a

great example similar things in ' 07 um

you can talk again about uh you know the

two months uh after we learned about

covid in late December before um we saw

a final decline from Co of 30% in a

month these are the way things happen uh

V compression needs to bottom um and and

those are the things that we again we've

been looking for of all compression

floor so strike fall going up more uh

potential energy to the drop as the

market goes higher um and importantly

less shorts so the squeezing of shorts

the uh the changing of the narrative all

of those things are things that we have

been now beginning to see but are not

done yet we believe uh we are getting

close we will take a shot here again in

July as we mentioned but something to be

aware of one new thing that we haven't

talked enough about is V Supply and I

think there's a need to talk about this

in in great detail uh so that investors

um as well as potential investors really

understand um this is different than the

last inflationary period in the 70s in

some ways one of the most important ways

is in the pure size and scale and

issuance of options and

derivatives derivatives did not exist

largely in the 1970s put options alone

uh did not uh get list or traded until

the late 70s uh and definitely weren't

actively used till much later so there's

an important unique uh outco out you

know outcome here from derivatives um

historically money goes from the stock

market to the bond market when interest

rates go up so negative liquidity is not

just the problem it's a problem that

higher interest rates provide a reverse

Tina effect to flow into bonds and away

from

stocks however now with the is the

creation of derivatives and the and the

uh issuance of massive amounts of

Structured Products we are seeing

massive increases in structured product

issuance why because people are looking

at uh the realities of five% plus

underlying interest rates and the

ability to write Structured Products

above them so there's the ability for

example as a as a general example to go

out and write puts and calls a year out

20% out of the money and yield not just

the 5% but again yield step back and

then add another three and a half yield

something around 8 and a

half% um as long as the market doesn't

decline more than 20% as long as it

doesn't uh rally more than 20% you sit

in in a position to make eight and a

half percent a year and then after that

you you know going one to one short the

market above one to one La the market

above gives you a major cushion and in a

non-correlated way to be able to kind of

compound at eight and a half percent

sounds very appealing to people again an

alternative a non-correlated alternative

to stocks that people are doing instead

of just buying bonds

that movement into Structured Products

is having a significant impact we've

known ball suppli is very very strong

but we've been trying to uh get under

the hood over the last three months

really of what's driving the stickiness

to it and our our research shows that

it's primarily Structured Products

structured product issuance drives V

Supply because most of its writing

options onto Banks um which then have to

lay off that Vault Supply onto the

options markets on top of that they have

to hedge their long ball positions and

long game of positions so market makers

Banks dealers broadly are Laden with

massive amounts of gamma and V and this

is pinning the S&P 500 where all these

Structured Products are primarily um

based um we know this we can see the

effects of this not just in the pinning

of Vault broadly but in the massive

historical dispersion we are seeing 2017

was the highest um the highest level of

dis ersion profit um in history uh by

many measures so realiz ball itself was

at 30% lower than any other time in

history in 125 years of History we've

talked about that um but correlation was

also at 25% lower than any other time in

history the correlation of underlying

constituents of the S&P that was a

complete outlier until this year we are

now seeing something very similar

dispersion so the single list movement

uh the volatility of of those options uh

Rel those underlyings relative the

volatility of the index is at again a

historic breaking point and that is

driving immense profits um for people

who are playing that trade but again why

is that because the VA and the structure

products and everything tied to the S&P

is pinned that V Supply is incredibly

pinned while we still having major macro

um you know issues uh major uh major

lepto kurtic kind of underlying

liquidity flows and that's really

driving what we're see historic kind of

dispersion historic rotation that we've

seen in particularly into the short B

names uh like Nvidia and the these AI

names where there's a lot of long call

purchasing from the street and dealers

are shortfall so you have this massive

unwind and push that's happening as the

index is more pinned and uh these other

names are getting pushed now that can't

last forever but it can last much longer

than people expect because it's a

structured flow position it is these are

not uh the the supply of all is not weak

hands I would say entities that are are

selling this uh and that are very

concentrated in the market and that can

get blown out and have to cover or

dealers that will have to themselves

sell into it um who is short that ball

uh people who are taking on structured

product um issuance and that ultimately

is pretty sticky um what you need to see

is those structur products to kind of

roll off other buyers of all come in and

relieve that V Supply in order for this

to to uh you know for a a unpinning to

happen and that's difficult that's

difficult i' I've mentioned this ball

Supply in S&P as really the the one

thing that is kind of the uh that needs

that's going to be the hardest and the

last thing to change it usually is think

of it as the the the Dutch boy with his

thumb in the Dyke there's potential

energy building behind that damn lots of

liquidity um you know uh uh coming out

and creating uh more dangerous

situations The Narrative changing the

short long long to short interest the

short to Long interest turning all of

those things um are things we need to

see the problem is on pinning V and and

one of the best ways for that to happen

is to for big enough moves to the upside

upside to start to happen so they become

natural buyers of all as the market

slides to continually uh unsustainably

low implied VA and that's why the market

up volup piece is important one or two

days is not enough you need to see weeks

profitability that drives people into

more longfall strategies less shortfall

and also like I said creates the

potential energy um and narrative change

that that we you know and positioning

change from a long short side from a

Delta one side that can potentially

create a bigger ball and pinning so

that's what we're looking for hopefully

this was helpful again the macro flows

the structural realities of of where we

sit uh this is a multi-year Outlook um

very very bad for liquidity bad for

Equity markets but does not mean over

the course of months uh quarters that we

can't see continued squeezes uh you have

to be liquid you have to be like water

uh wishing you all the best here in July

uh and look forward to another one here

in August take

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