Macro and Flows Update: August 2023 - e20

Summary

The video discusses the macroeconomic liquidity situation, highlighting the significant decrease in liquidity due to the expected $1.2 trillion dollar issuance over the next 6-9 months. Despite this, recent bank runs and TGA drawdowns have temporarily increased market liquidity. The video also touches on the Biden Administration's strategy to accelerate debt issuance to avoid liquidity issues during the election period. It further explores the role of structured products in creating a substantial implied volatility supply, which has historically supported the S&P 500. The speaker predicts potential market rotations and emphasizes the importance of monitoring the 10-year yield and positioning in the bond market, concluding with an outlook on market behavior leading up to Labor Day and the potential for a buying opportunity post-Labor Day.

Takeaways

• 📉 The liquidity from a macro perspective is decreasing, with an expected $1.2 trillion in debt issuance over the next 6-9 months.
• 📊 Despite talk of quantitative tightening (QT), liquidity models have remained supportive, reflecting the complex relationship between macroeconomic factors and market liquidity.
• 💹 The February-March bank run and the debt ceiling TGA drawdown significantly increased market liquidity, but this trend is now reversing.
• 🛑 The Biden Administration and the Treasury have recognized the need to balance debt issuance with the potential impact on market liquidity, especially ahead of the election period.
• 📈 The market has shown resilience despite liquidity divergences, as seen in the period leading up to the COVID crash in 2019-2020.
• 📊 The correlation between liquidity and demand for stocks is strong, indicating the importance of macro liquidity for asset prices.
• 🌐 International factors, such as Japan's interest rate policy and credit rating agency downgrades, can influence the US market's liquidity and investor sentiment.
• 🔄 The issuance of Structured Products has increased, offering investors an alternative to the stock market with high yields and lower risk.
• 📊 Implied volatility supply is well-supplied, creating a pinning effect on the S&P 500 and supporting market stability despite underlying dispersion.
• 🔄 Market rotation and dispersion are expected to continue, with significant moves in various market sectors and asset classes.
• 🚨 The upcoming period until Labor Day is critical, with potential for market volatility if the current implied volatility supply dynamics change.

Q & A

What is the primary focus of the macro and flows update video?

The primary focus of the video is to discuss the changes in market liquidity from a macro perspective, the impact of debt issuance on the market, and how these factors influence the demand for stocks and other assets.

What does the term 'TGA' refer to in the context of the video?

In the context of the video, 'TGA' refers to the Treasury General Account, which is the account held by the U.S. Treasury at the Federal Reserve where government funds are deposited and from which payments are made.

How did the February-March bank run and the debt ceiling TGA drawdown affect the market?

The February-March bank run and the debt ceiling TGA drawdown resulted in a significant amount of liquidity being pushed into the market, which initially supported the market despite the potential for liquidity to decrease due to interest rate increases and other macro factors.

What is the significance of the $1.2 trillion in debt issuance expected over the next six to nine months?

The expected $1.2 trillion in debt issuance is significant because it represents a large decrease in liquidity, which could impact the demand for stocks and assets. This figure is a key consideration for investors and market participants when assessing future market conditions.

How did the Biden administration and the Treasury respond to the anticipated increase in debt issuance?

The Biden administration and the Treasury began to increase and accelerate the amount and duration of debt issuance to avoid drawing liquidity at unfavorable times, such as early to mid-next year coinciding with the election period.

What is the role of structured products in the current market environment?

Structured products have been increasingly appealing as they offer high yields (9-10% per year) with relatively low risk and non-correlation to the equity market. They serve as an alternative to the stock market, which is seen as overvalued and risky, and they contribute to the supply of implied volatility, impacting market dynamics.

What is the ' dispersion ' mentioned in the video, and why is it significant?

Dispersion refers to the difference in volatility between the constituents of an index and the index itself. High dispersion levels, as seen in the S&P 500, indicate that individual stocks are moving more dramatically than the index, leading to significant rotation and shifts in market trends.

How does the issuance of structured products impact the implied volatility market?

The issuance of structured products contributes to a high supply of implied volatility, as they are often constructed to sell volatility. This increased supply creates a pinning effect on the market, particularly the S&P 500, providing underlying support and stability despite individual stock volatility.

What is the potential impact of geopolitical issues on the macro liquidity situation?

Geopolitical issues can introduce uncertainty and risk into the market, potentially leading to shifts in macro liquidity. Depending on the scale and nature of these issues, they could be strong enough to disrupt the current stability of the market and lead to significant changes in market dynamics.

What does the video suggest about the market's response to the upcoming Labor Day period?

The video suggests that the period leading up to Labor Day is critical, as it is a time when significant market shifts can occur due to the expiration cycle and the potential for increased market volatility. Investors should be vigilant and prepared for possible rotations and changes in market trends.

What is the significance of the 10-year yield in the context of the video?

The 10-year yield is significant as it reflects the market's expectations for inflation and growth. The video discusses how movements in the 10-year yield can indicate shifts in market sentiment, such as the move to 4.1% reflecting an inflationary trend. Watching this yield closely can provide insights into future market behavior.

Outlines

00:00

📉 Macro Liquidity and Market Implications

This paragraph discusses the macroeconomic perspective on liquidity and its impact on the market. It highlights the significant decrease in liquidity due to the draining of the Treasury General Account (TGA) and the expected large-scale debt issuance over the next six to nine months. The speaker notes that despite talk of quantitative tightening (QT), liquidity models have remained supportive. However, the February-March bank run and the subsequent TGA drawdown have injected substantial liquidity into the market, which is now starting to diminish. The paragraph also touches on the Biden Administration's strategy to accelerate debt issuance to avoid a liquidity crunch during the election period.

05:02

💹 Market Flows and Structural Product Trends

The focus of this paragraph is on market flows and the role of structured products in the current financial landscape. It emphasizes the supportive role of flows, especially in the context of slower issuance and shorter duration, which has helped markets levitate. However, the speaker warns that this support cannot last indefinitely. The paragraph also discusses the issuance of structured products that offer high yields and serve as an alternative to the overvalued and risky stock market. These products are seen as a way to deleverage from equities and are becoming increasingly popular due to their non-correlated, relatively low-risk nature.

10:02

📈 Implied Volatility and Market Dynamics

This paragraph delves into the concept of implied volatility and its effect on the market. The speaker explains how the high issuance of structured products has led to an oversupply of implied volatility, which in turn creates a pinning effect on the market, particularly the S&P 500. This pinning effect provides underlying support, making the market very sticky. The speaker also discusses the dispersion of volatility among the constituents of the indices, which is significantly higher than the index itself, leading to a breakdown in correlation. The paragraph highlights the historic levels of dispersion and the potential for continued significant rotation and dispersion in the market.

15:03

🔄 Market Rotation and Positioning

The speaker discusses market rotation and positioning, emphasizing the importance of understanding where the market's focus lies. The paragraph covers the expected rotation from the NASDAQ to the Russell and the counter-trend observed since February-March. It also touches on the bond market and the potential for a steepening trade due to the backwardation of the yield curve. The speaker advises watching the 10-year yield and positioning in bonds, as well as the conversations around deflation versus inflation. The paragraph concludes with a discussion on the potential for a significant market shift if macro liquidity issues arise from international phenomena.

20:07

🚨 Risk Management and Legal Disclaimer

This final paragraph serves as a legal disclaimer, emphasizing that the content of the video does not constitute an offer to sell or a solicitation of an offer to buy any security or other product or service. It clarifies that the information provided is not intended to provide tax, legal, or investment advice and should not be construed as a recommendation to engage in any investment strategy or transaction. The speaker reminds viewers that they are solely responsible for determining the appropriateness of any investment strategy or security based on their personal investment objectives, financial circumstances, and risk tolerance, and encourages consulting with business, legal, or tax advisors for specific situations.

Keywords

💡Liquidity

In the context of the video, liquidity refers to the ease with which assets can be converted into cash without affecting their market price. It is a crucial factor in financial markets, affecting the demand for stocks and other assets. The video discusses the decrease in liquidity due to the draining of the Treasury General Account (TGA) and the issuance of debt, which is expected to reach $1.2 trillion over the next 6 to 9 months.

💡TGA (Treasury General Account)

The Treasury General Account (TGA) is the account held by the U.S. Department of the Treasury at the Federal Reserve where government funds are deposited and from which payments are made. In the video, the draining of the TGA is highlighted as a significant factor affecting market liquidity, as it reduces the amount of cash available in the financial system.

💡Debt Issuance

Debt issuance refers to the process by which a government or corporation raises capital by selling bonds or other debt instruments. In the video, the expectation of increased U.S. debt issuance over the next 6 to 9 months is presented as a key factor that could lead to a significant decrease in liquidity, as new debt absorbs available cash in the market.

💡Quantitative Tightening (QT)

Quantitative Tightening (QT) is the process of reducing the size of a central bank's balance sheet, typically by selling assets that it has previously purchased, thereby taking liquidity out of the market. In the video, QT is mentioned in the context of potential liquidity drains and its impact on financial markets.

💡Bank Run

A bank run occurs when a large number of bank customers withdraw their deposits simultaneously due to fears about the bank's solvency. In the video, the term 'Feb March Bank Run' refers to a specific event that contributed to a significant amount of liquidity being drawn into the market, which is now being reversed.

💡Structured Products

Structured products are financial instruments that combine various types of assets and derivatives to create a product with a specific risk-return profile. In the video, structured products are highlighted as a significant factor in the market, particularly because they are overwhelmingly selling volatility, which affects the supply and demand dynamics in the market.

💡Implied Volatility

Implied volatility is a measure of the expected future volatility of a financial instrument, derived from the market price of an option. It is used by traders and investors to gauge the perceived risk of an asset's price movements. In the video, implied volatility supply is discussed as a key factor that has been supporting the market, creating a pinning effect on the S&P 500.

💡Risk Parity

Risk parity is an investment strategy that seeks to balance risk across different asset classes by adjusting the allocation of investments so that each asset class contributes equally to the overall portfolio risk. In the video, risk parity is mentioned as one of the strategies that could be affected by changes in market liquidity and flows.

💡Market Rotation

Market rotation is the movement of investment capital from one asset class or sector to another, often in response to changing market conditions or investor sentiment. In the video, market rotation is discussed as a significant trend, with specific examples given such as the shift from the NASDAQ to the Russell index.

💡Yield Curve

The yield curve is a graph that plots the interest rates of bonds across different maturities. It is used to analyze the shape of the bond market and predict economic conditions. In the video, the yield curve is discussed in the context of the 10-year bond yield, which is seen as an indicator of inflation expectations and market sentiment.

💡Market Pinning

Market pinning refers to the phenomenon where the price of a financial instrument, such as an index or a stock, tends to remain stable or 'pinned' at a certain level due to various market forces, such as liquidity provision or investor expectations. In the video, the term is used to describe how the S&P 500 index has been supported by a significant supply of implied volatility, creating a stable environment despite underlying market volatility.

💡Seasonality

Seasonality in financial markets refers to the tendency for certain patterns or trends to repeat at specific times of the year due to recurring events or market behaviors. In the video, seasonality is discussed in relation to the expected market performance during certain months, with the suggestion that the market may exhibit different behaviors in the lead-up to and following the holiday season.

Highlights

The discussion revolves around the macroeconomic liquidity situation and its impact on financial markets, particularly in August.

Liquidity models have remained supportive despite talks of quantitative tightening (QT) and potential drains from interest rate increases.

The February-March bank run and the debt ceiling TGA drawdown resulted in a significant amount of liquidity being pushed into the market.

There is an expectation of $1.2 trillion in debt issuance over the next six to nine months, indicating a large decrease in liquidity.

The beta for liquidity over the last five to six years has been around 97, showing a strong correlation with the demand for stocks and assets.

The Biden administration and the Treasury began to increase the amount and duration of debt issuance to avoid drawing liquidity at unfavorable times, such as the election period.

Japan has allowed its interest rates to rise, reflecting concerns about the US issuance and the global liquidity situation.

Fitch and Moody's have downgraded US debt, which is a symptom of the larger macro liquidity issues.

Structured products have seen a dramatic increase in issuance, with a focus on selling volatility, which is a new phenomenon not widely discussed.

These products offer high yields and are seen as an alternative to the overvalued and risky stock market, contributing to a significant rotation out of equities.

The dispersion of volatility among the constituents of the S&P 500 is high, leading to significant rotation and a breakdown in correlation.

The supply of implied volatility is strong and owned by dealers, which creates a pinning effect on the market, particularly the S&P 500.

The market has seen large moves in individual assets like oil and tech stocks, while the index itself remains relatively stable.

The discussion suggests a potential rotation from large-cap to small-cap and from growth to value stocks.

The bond market is also expected to see significant moves, with the 10-year yield potentially breaking out and posing risks.

The positioning in the bond market is not as extreme as it was during the previous move to 4.1%, suggesting a different outcome may occur.

The potential for a significant market event is discussed, with various geopolitical and macroeconomic factors that could influence it.

The period leading up to Labor Day is highlighted as a critical time for market movements and potential liquidity issues.

The video concludes by emphasizing the importance of staying vigilant during the options expiration cycle and the potential for a buying opportunity after Labor Day.

Transcripts

hello and welcome back to another macro

and flows update

video here we sit at August

expiration um as we've talked about now

for uh almost two months the liquidity

from a macro perspective um is coming

off the table when we first addressed

this issue post debt ceiling um we spoke

about the the draining of the TGA that

happened prior and the new issue that

would be coming in debt going out uh for

the next 9 months by a lot of estimates

the next six to9 months would uh at that

time would have expected $1.2 trillion

doar of

issuance um this is clearly a large

number uh and significant decrease of

liquidity coming off the table most

liquidity models have really gone

sideways to actually been quite

supportive despite all the talk of qt or

early on in the year um and all the

potential drain and interest you know

from interest rate increases but the

reality is that the Feb March Bank Run

followed by the debt sealing TGA

drawdown drew a pushed a significant

amount of liquidity into the market um

until really late

June now as we've been saying liquidity

is coming off the table if you look at

liquidity there's a lot of graphs going

around there's a lot of analysis um over

a monthly basis at least beta to

liquidity for the last five six years

has been 97 or so it's dramatically in

line the problem with that is actually

there are several kind of monthly

periods quarterly periods where it does

diverge eventually they come back into

line uh in particular we saw this in uh

2019 uh in the 9 months

preceding uh the covid crash there was a

significant Divergence liquidity was

coming off the table but the market

continued to

rally um that of course came back into

line uh when when we saw the covid crash

in

2020 um so these things can diverge for

a while we've known this it's not a

straight line that said over the long

run as that beta indicates liquidity in

it from a macro perspective is a direct

uh indicator of demand for uh stocks in

particular and assets r large large and

is very important so not a surprise here

two months later that at first the TGA

refill was slow there wasn't much talk

about it the uh the treasury lowered the

duration of what they were issuing um so

it went into reverse repo instead of

being complete drain on on uh aggate

Market liquidity um on top of that uh

they uh the amount of issuance was

decreased early on they were trying to

be conservative in the early steps but

what became clear and clear is that the

administration the Biden Administration

and treasury yelling began to realize

that the amount of issuance which was

going to be quite a bit bigger than they

originally thought uh if they waited too

long would potentially draw liquidity at

exactly the worst time which is early

early to mid next year um and uh right

into an election period so not

surprisingly they began to increase and

ex accelerate not only the amount of

issuance that's coming but on top of

that the duration um of the

issuance that in about a month ago was

the first sign uh when that news came

out that that the markets would have to

take this more seriously more on a

sooner basis um again we talked about

this this isn't new it's just a matter

of uh reality sinking in on top of that

we started to see Japan allow its

interest rates themselves to begin to

rise um because again if if that much

issuance was happening on the US side

there's just not enough liquidity and

the dis uh the amount of difference

between the two would have to be

regulated this also began to concern

markets almost a month ago three weeks

ago on top of that we started to see

Fitch downgrade US debt on the back of

this and now Moody's downgrade Banks um

with much greater War wargs behind it

all of this is not new information it is

simply the symptoms of what we've been

talking about in the bigger macro

liquidity issues that lie ahead that

negative macro though has been balanced

by the flows um the flows have been very

very supportive uh especially in the

context of a slower issuance a shorter

duration and still was able to help

markets levitate a bit there in uh July

and um you know even uh some of the

early part uh sorry in late June as well

as July um however that can only go so

long um not a surprise here again that

we have hence with the flows that have

still existed during this v a charm

period the the buyback uh of stock at

the beginning of the month uh for

reinvestment uh based on a higher

collateral

we have seen what looks like stairsteps

and it's been very very supportive

until expiration week the week we've

highlighted right the Monday and

Wednesday periods right uh you know

after Monday was the beginning of of you

know the end of the strongest point and

of course Wednesday uh of expiration

being the last kind of harah of those

big flows and what have we seen a

significant uh decline now and

acceleration importantly the market um

as we get to these windows that we've

highlighted uh proactively um a month or

so

out

um this is how it works it's a

tug-of-war between flows and macra what

becomes interesting is when the flows

given some downside momentum potentially

reduction in collateral at the end of

the month and and also some of the

momentum factors that come from uh not

only past massive investment but also uh

from from some of the other uh Trend

following risk parity VA targeting

strategies if those flows begin to not

be as supportive um that can turn the

tide and go along with macro and

exacerbate some of the declines that are

coming what holds the key here

ultimately whether we can sway these

markets to a a real Vol event in

liquidation at this point we'll be a

function of implied volatility Supply

itself implied volatility Supply as

we've highlighted has been incredibly

well supplied not just because more V

selling is happening by speculators and

funds and there's less hedging and

buying broadly by others but more

importantly than that because of

Structured

Products there is a phenomena that

nobody else is talking about but us here

that nobody else has done the research

on except for what we've seen

but we are seeing a dramatically higher

issuance of Structured Products of which

are overwhelmingly selling B why is that

happening because Structured Products

build upon a risk-free yield in times

past when we had inflation and Rising

interest rates money would flow to bonds

exclusively there were no Structured

Products in the 70s there were no

derivatives or options in the

70s and so the money would simply flow

to bonds the reality though is bonds can

be invested and used as collateral and

leveraged for other uh risk layering

yield stacking however you want to uh

refer to it and this creates the ability

to structure products at incredibly

desirable percent yields that are

non-correlated that are relatively low

risk and an incredible way to delever

from the equity market so these have

been incredibly appealing some of these

yeld 9 10% per per year for the next two

years while selling you know by putting

being put back into the market 25 30%

lower being you know shorting the market

at 25 to 30% higher while still having

that 10% payout in between um those

types of uh alternatives are um again

incredibly appealing not only because

they yield that high in amount now but

because they serve as an alternative to

to the stock market which itself is seen

increasingly as overvalued and risky

after 2 years of significant

volatility without any returns again uh

after 12 years of significant 12% on

average returns after 09 I'm not a

surprise that uh we're starting to see

overvaluations and a need to move

away but unlike during the 70s ' 80s

moving money to bonds doesn't compress

volatility money moving to Structured

Products creates massive Vol Supply gets

which is owned by dealers particularly

Banks who then pass it on to market

makers and other others who have to

Warehouse it in the market this implied

volatility which is tied in the S&P 500

in particularly in the equity Market

creates a pinning effect um an

underlying support to the market that

ultimately is is very very sticky

because most of the supply is not weak

hands it is simply deleveraging from the

equity Market um and the supply as I

mentioned is dramatic because it's

coming from significant delevering from

the whole Equity Market

itself this Vol Supply um has been the

single Dutch boy with his thumb in the

Dyke that we've alluded to in the S&P

500 and it is so strong with volatility

increasing on the exterior for the last

several years in particular the last 6

to n months that we've gotten historic

what we call dispersion the underlying

con constituents of the indices are

moving um uh in line with historic

precedent which is quite significant uh

with these with these flows while the

index itself is fairly pinned that means

the volatility of the constituents is

much higher than the index um and the

correlation between things is breaking

down significantly we highlighted that

this happened in 2017 last um at that

time implied V was much more compressed

and realized v um on the single list was

still quite High relative to implied VA

but it generally speaking realized

implied VA was significantly lower much

less liquidity issues much less uh risk

from a macro perspective very different

macro environment at the time um but

that was the greatest highest amount of

dispersion profits we had ever seen um

and the and the highest amount of

dispersion and and breakdown and

correlation ever in 125 years and we're

now at that level which speaks the

amount of B Supply and the opining

that's happening in the S&P so very

important to understand that um what

that means because that's likely not to

get uh easily broken is that we are

likely to see continued significant

dispersion significant

rotation uh this is the major driver

that has made to see leptokurtic moves

across the market while the index itself

has been relatively subdued for years

now we are seeing we've seen dramatic

moves in oil from -30 to 20 plus uh

we've seen dramatic Moves In in uh the

decline in Tech uh in 2021 through 2022

only to see a dramatic counter move

since February of this year and that

growth to Value um not to mention large

cap to small cap uh breadth uh going to

Historic levels as well the fact that

these tail events on the taals of the

market continue to fly around while the

index itself uh maintains its stability

is a tribute to how strong that single

Dutch boy with his thumb in the Dyke

that V Supply in the S&P 500 um has been

so strong um that does not mean uh the

cracks aren't building that the pressure

and the potential energy behind the dam

aren't building um but it does mean that

that Dutch boy is wellfed and that

ultimately he is uh able to hold

continue to hold at Bay those liquidity

pressures so continue to look for

rotation and dispersion when things get

too s far on one side of the boat we

were obviously quite preent uh last um

month um in in calling for the

significant beginning of a rotation from

the NASDAQ back into the Russell u a

counter trend from what we've seen since

February March and of course we

highlighted that here on those videos as

well the initial Tech rally relative to

the Russell put that we expected um and

so we've really been able to nail those

dispersions uh those rotations and we uh

that really is simply looking at

positioning and seeing how far people

are on one side of the boat for these

Trends um at the same time we believe

something similar is happening in the

bond market the last time we saw the

10year move to

4.1% um we it was very clear that was a

secular Trend at that point

and everybody was on the inflationary

Train everybody was too far on one side

of the boat that doesn't mean the

secular Trend wouldn't continue but it

made for a situation where the simplest

smallest little excuse right for that to

that to rotate back down uh was was

highly likely um to cause some problems

and that's what we saw with the bank run

in February into March and we saw a

dramatic decline very sudden almost

historic move in uh long duration bonds

during that window but we were very

clear in that window as well here on the

macro and flows that we would expect

that to be a low and that for a

steepening trade at that point to be a

historically profitable trade given the

backwardation of the yield curve um and

that again is what we've seen as uh

interest rates in the 10 year have gone

from below around 3% right back to that

uh uh those those recent all-time Highs

at 4.1 to 4

.2% and uh we believe now the

positioning is not nearly where it was

last time around if anything the

deflationist got too far on their side

of the boat and now this has the

potential to break out and if it breaks

out there is significant risk given the

issuance that we just talked about at

the beginning of this conversation for

it to be particularly big and ugly given

the treasury will have to continue to

push against that without many

Alternatives so look for that to be an

important part of the puzzle watch the

10-year yield watch what happens to

those yields watch positioning in the

bonds and the conversations around

deflation versus

inflation ironically I think we begin to

see that recessionary talk come up again

if markets begin to decline here and if

that happens that will allow for

positioning not to build to be so strong

and we believe ironically

counterintuitively that will allow the

potential supply and demand and balance

to continue for that steeping

trade so NASDAQ should continue to be

weak into that window uh dur duration

should do quite well in the uh debt

markets um uh well quite poorly I

apologize the yield should go higher um

and ultimately we believe the S&P VA

will still maintain its pinning into

this decline the question

is could we potentially see enough macro

liquidity issues for wall to become un

and pinned from a international

phenomena something on the tail that's

bigger that we're not quite sure what

that is is it China and the yuan is it

Japan and and uh their interest rates um

is it something coming from Europe um

and and and the market there um any one

of these things not to mention the

geopolitical issues could be strong

enough to shake that macro SMP um VA

positioning and if it

does that would be an overwhelming tidal

way there's essentially 3 weeks until

Labor Day for that to

happen um and it's a short window for it

to begin but this is the window it needs

to happen in because much like that day

after after February that the covid

crash began and ended the day after the

March uh the day after March Opex here

we are going into a quarterly Opex is

the last and final important thing that

corly Opex means massive open interest

massive risk these are the periods

particularly at the beginning of these

expiration cycle Cycles where things can

really have a problem if we can break

that Vol Supply if we can begin to see a

liquidation that really takes on speed

in on

pinville um this could

potentially continue to roll over and

get significantly worse but if V Supply

doesn't crack in this

period um which seems increasingly

likely even if we get a continued stair

step down

decline we would expect by by the time

you get to uh

CPI uh after Labor Day that this would

ultimately just become another buying

opportunity and supported uh environment

uh for markets with sep as we go into

sep expiration more and more buyback

from Vana and charm and ultimately begin

to take us into the stronger seasonal

period uh eventually November December

January where V itself um accelerates

its Decay because of the number of

holidays and the number of volume

weighted decrease in time as people take

uh more and more time off not to mention

maybe most importantly if markets

continue to be up significantly on the

Year by the time we reach late

October it is fair to say that the

amount of collateral reinvestment for

the end of the year is so massive that

it could counterweight all of the

liquidity drain that we're seeing um and

very much lead to not only a support but

a counter Trend bounce back up until mid

January after for the January effect so

stay on your toes is a critical 2 and

1/2 three weeks as I always say be water

and good luck in the SE expiration cycle

thank

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