Summary

An uptick in Treasury yields and mixed economic signals helped erase two days of gains for the SP 500 Index  and Nasdaq Composite Friday, leaving both indexes lower for a second-straight week, as investors readied for the Federal Reserve's policy meeting this week.

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Technology and growth stocks lagged after Apple’s new product introduction event on Tuesday that featured a price increase on its top-of-the-line iPhone 15. The products received mixed reviews, which also seemed to dampen sentiment toward the technology sector over the course of the week

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The 10-year Treasury yield was back near the 16-year highs reached about a month ago, overshadowing two relatively well-received inflation updates from earlier in the week and suggesting the market is bracing for a "higher for longer" Fed rate tack. A larger-than-expected decline in the University of Michigan's initial Consumer Sentiment index for September further muddied the picture.

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The tone from the FOMC meeting next week will be important to market direction. What kind of signal does the Fed want to convey to the markets? and Is the Fed comfortable with the trajectory of inflation or does it want to get more aggressive and lean towards another hike?

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The European Central Bank (ECB) raised interest rates for the 10th meeting in a row on Thursday to counter stubborn inflation but signaled that it is likely done tightening policy. The ECB's new economic projections reflect these shifts and could stoke fears of stagflation, where a period of economic stagnation is accompanied by high inflation. "Inflation continues to decline but is still expected to remain too high for too long," the ECB added.

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This week's economic calendar is important, markets are counting down to Wednesday’s Fed policy decision and multiple other CB decisions on Thursday (Bank of England, Norges Bank, Riksbank, Swiss National bank) and on Friday (Bank of Japan). US and EMU PMI’s on Friday give an update on activity.

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The global cryptocurrency market continued its rally from last week. The total market cap was up by 0.31% to $1.06 trillion on Monday, even though the total trading volume was down by 7.67 per cent to $19.08 billion.

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Last week, FTX, a bankrupt crypto exchange, received court approval to liquidate its crypto assets. The exchange is expected to liquidate approximately $3.4 billion worth of crypto assets by the end of 2023, with Solana ($1.162 million), Bitcoin ($560 million), and Ether ($192 million) being its top three holdings. This has caused some fear among investors, as such liquidations could lead to some selling pressure in the market.

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Binance.US is facing significant changes due to regulatory challenges. Last week, the U.S.-based affiliate of Binance reduced its workforce by one-third and bid farewell to its CEO, Brian Shroder. The firm also recently lost its legal and risk executives. These developments follow increased scrutiny of the crypto industry by the U.S. Securities and Exchange Commission.

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Macro y news

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Economic Calendar:

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Upcoming relevant events:

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SEPTEMBER

▪️20: FOMC

▪️29: PCE

▪️30: End Government Fiscal Year. $1.2T of T-Bill issuance needed by then

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OCTOBER

▪️1: Student Loan payments due (unless taking 1 extra year interest accrues)

▪️6: Employment report

▪️9-15: IMF World Bank meeting 

▪️12: US CPI

▪️27: US PCE

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NOVEMBER

▪️1: FOMC

▪️3: Employment report

▪️14: US CPI

▪️30: US PCE

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U.S Macro data

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Last week we received some disappointing news on the inflation front. Both PPI and CPI came in a little hotter than expected, and fears were stoked that inflation could be coming back. However, the FED is widely expected to leave its benchmark interest rate unchanged at its two-day policy meeting that’s scheduled to end on Wednesday. At its most recent meeting in late July, the Fed approved an increase of a quarter-percentage point to a range between 5.25% and 5.50%, the 11th hike since March 2022.

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Wednesday’s release of the eagerly anticipated August consumer price index (CPI) data showed that the Federal Reserve has made progress in its fight against inflation, but rising energy prices may prompt the central bank to further tighten monetary policy. The headline CPI numbers showed the largest monthly increase since August 2022, which was the widely expected effect of higher gasoline prices. The core (excluding food and energy) CPI increase was slightly higher than expected.

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The consumer price index rose 0.6% in August, its biggest monthly gain of 2023. The inflation gauge rose 3.7% from a year ago.The core CPI increased 0.3% and 4.3% respectively, against estimates for 0.2% and 4.3%.

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Similarly, the August producer price index (PPI) data released on Thursday indicated that headline producer prices climbed more than expected, with core PPI in line with expectations. The PPI, a measure of what producers get for their goods and services, increased a seasonally adjusted 0.7% in August and 1.6% on a y/y basis. That monthly gain was above the Dow Jones estimate for a 0.4% rise and was the biggest single-month increase since June 2022.

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In other economic news Thursday, the Commerce Department estimated that retail sales increased a higher-than-expected 0.6% in August, well above the Dow Jones estimate for a 0.1% rise. Excluding autos, sales also increased 0.6% against the 0.4% estimate.

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Those numbers are not adjusted for inflation, indicating that consumers continue to hold up despite rising prices and increasing levels of credit card debt. Compared to the monthly rise in CPI, retail sales in real terms were flat on the month. Sales were up 2.5% from a year ago, which was below the 3.7% annual CPI inflation rate.

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The consumer, the main cylinder of the U.S. economic engine, is still firing. However, consumption growth is losing some momentum, as the excess savings accumulated over the past three years have been largely drawn down. Taken together with the moderating wage gains and high borrowing costs, we think there is a little less dry powder for consumers to spend.

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On September 15, the University of Michigan released the Michigan Consumer Sentiment report for September. The report indicated that Michigan Consumer Sentiment declined from 69.5 in August to 67.7 in September, compared to analyst consensus of 69.1.Current Economic Conditions decreased from 75.7 in August to 69.8 in September, while the Index of Consumer Expectations improved from 65.5 to 66.3.

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The price of U.S. crude oil climbed for the third week in a row and eclipsed $90 per barrel on Thursday for the first time since last November. The price has climbed around 14% over the past three weeks amid renewed oil supply concerns.

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The world is struggling to make enough diesel. U.S. prices jumped above $140 to the highest ever for this time of year on thursday. Europe's equivalent soared 60% since summer.

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The Fed’s decision won’t be the only catalyst driving Wall Street this week. Speaking of driving, the estimated 13,000 U.S. auto workers who halted their vehicle production lines made a bold statement to the Big Three automakers, Ford, General Motors and Stellantis. Negotiations between the United Auto Workers labor union leaders and representatives of the automakers failed to reach a consensus before the clock struck midnight Thursday, signaling the expiration of the four-year labor contracts.

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Eurozone macro data

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The European Central Bank on Thursday again lifted interest rates in an effort to help address high inflation, marking the tenth policy meeting in a row at which has hiked rates. The latest move left the bank’s key rates at the highest levels since 1999. 

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ECB President Christine Lagarde said a “solid majority” of policymakers had backed the quarter-point hike that took the key deposit rate to 4.0%, a record high. The ECB said that the move meant “interest rates have reached levels that, maintained for a sufficiently long duration, will make a substantial contribution to the timely return of inflation to the target.”

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Data from the European Union’s statistics office indicated that industrial production in the eurozone weakened by more than expected in July, dropping 1.1% sequentially because of sharp declines in the output of durable consumer and capital goods.

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The European Commission (EC) cut its forecast for gross domestic product growth in the eurozone in 2023 to 0.8% from 1.1% and projected that the German economy, the largest in the area, would shrink by 0.4%. The EC’s previous estimate had called for Germany’s GDP to expand by 0.2%.

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UK macro data

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The UK economy shrank faster than expected in July due to worker strikes, wet weather, and rising borrowing costs, the Office for National Statistics said. GDP fell 0.5% sequentially, after rising by the same amount in June. However, the rolling three-month growth rate increased 0.2%, thanks to expansions in services, production, and construction.

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UK unemployment unexpectedly increased to 4.3% in the three months through July, up from 4.2% over the previous three months. This jobless rate exceeded the 4.1% that the Bank of England had forecast for the third quarter. But total wage growth over the three months through July accelerated year over year to a greater-than-expected 8.5%.

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Japan macro data

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Bank of Japan (BoJ) Governor Kazuo Ueda suggested that the central bank could have enough data by year-end to judge if wages will continue to rise and thereby determine whether it could end its policy of negative interest rates (given sustained wage growth is key to the achievement of its 2% inflation target).

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While the yen strengthened following Ueda’s comments, it lost ground to finish the week broadly unchanged at the upper end of the JPY 147 range against the U.S. dollar. Due to the interest rate differential between Japan and the U.S., the yen continues to hover around its lowest level in around three decades.

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As a result of the speculation about potential BoJ monetary policy normalization, Japanese government bonds (JGBs) slumped, sending the yield on the 10-year JGB to 0.70%, the highest since 2013, from 0.64% at the end of the prior week.

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China macro data

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Official data for August provided evidence of economic stabilization in the country, after a recent negative trend for Chinese economic data. Industrial production and retail sales grew more than forecast last month from a year earlier (with industrial output up 4.5% on a year-over-year basis and retail sales up 4.6%.), while unemployment unexpectedly fell from July. However, fixed asset investment growth missed forecasts due to a steeper decline in real estate investment.

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Inflation data revealed that consumer prices returned to growth after slipping into contraction in July. The consumer price index rose 0.1% in August from a year earlier, up from July’s 0.3% decline. Meanwhile, the producer price index fell 3% from a year ago as expected but eased from the 4.4% drop the previous month. The inflation readings provided more evidence that the worst may be over for China’s slowing economy, which led Beijing to issue a flurry of stimulus measures in recent weeks aimed at jumpstarting demand.

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In monetary policy news, the People’s Bank of China (PBOC) cut its reserve ratio requirement by 25 basis points for most banks for the second time this year to inject more liquidity into the financial system. The central bank also rolled out RMB 591 billion into the banking system compared with RMB 400 billion in maturing loans. Many economists predict that the PBOC will engage in further policy easing for the rest of 2023 as the government tries to boost China’s post-pandemic economy, which has been losing momentum following a brief first-quarter rebound.

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China’s Housing Crisis

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China’s property market is in crisis. Real estate prices that skyrocketed over the past few decades have begun to fall back to Earth. Now the danger is that collapsing home values will also bring the world’s second-biggest economy down along with them.

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China’s real estate boom had its origins in fundamental supply and demand. When the country’s leaders opened the economy to foreign investors and private businesses four decades ago, it led millions to move from the countryside to China’s cities in search of factory jobs. That unlocked demand for housing and resulted in a building boom that would, at its peak, see real estate and related industries account for as much as one quarter of China’s economy.

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On Friday, data from the National Bureau of Statistics showed property investment in China fell 8.8% in the first eight months of the year, compared to the same period a year ago. Property sales by floor area dropped 7.1% in the January to August months, compared to the first eight months of 2022. On Thursday, Moody’s downgraded its outlook for the overall sector, citing a downturn in residential sales and continued jitters about the health of the industry.

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Two years ago, the debt-laden developer China Evergrande Group spiraled into insolvency, bursting the country’s real-estate bubble and setting off a chain of developer defaults and business losses. The industry’s troubles have dragged down China’s economy.

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Now China’s largest privately run property developer, Country Garden, is struggling to survive. Unlike Evergrande, which was brought down by its profligate habits, Country Garden’s troubles come from the retreat of investors and home buyers from the industry. Country Garden focused much of its enormous footprint on rural cities and industrial zones, which were an engine of China’s growth in good times. Those areas are now wrestling with strained government finances and an accelerating exodus of residents, leaving them less able to absorb the fallout from a large developer’s failure.

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As of June 30, Country Garden was involved in more than 3,000 property projects encompassing millions of homes. It carried the equivalent of $186 billion in liabilities, including homes it sold but hasn’t delivered, money owed to suppliers, bank debt and bonds. Most of those obligations come due within a year.  The company reported a record first-half loss topping $7 billion after writing down the value of some of its property developments and other assets.

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Last month, the developer missed $22.5 million in interest payments on two U.S. dollar bonds, but scraped together enough cash before the end of a 30-day grace period to avoid defaulting. Country Garden’s creditors in mainland China granted it payment extensions on some of its yuan-denominated debt, helping the developer buy time to resolve its liquidity problems.

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Meanwhile, in mid-August, China Evergrande filed for chapter 15 bankruptcy in New York, edging closer to the finishing line of one of the world’s largest and most complicated debt restructurings. Its shares resumed trading on Aug. 28 after being suspended for 19 months. They crashed 79% that day.

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Chinese authorities have recently made it easier for people to buy homes in another attempt to boost sales. They broadened the definition of first-time home buyers, a category that comes with extra perks and subsidies, and lowered down-payment ratios on people’s first and second home purchases.

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Crypto News

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=> FTX, the bankrupt exchange, has been making headlines lately. However, there is a glimmer of hope for the exchange, as it has recently gained court approval to sell up to $100 million in crypto assets weekly. This move is a part of FTX's liquidation plan aimed at repaying creditors and reducing market volatility risks.

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FTX's liquidation plan is a significant step towards recovery, as it aims to recover over $3 billion following its collapse in 2022. While the market watches closely, experts believe that it won't heavily impact assets like Ethereum, Solana, and other altcoins held by the struggling exchange. This is good news for investors who may have been worried about market instability due to the sell-off.

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=> Huobi, a leading exchange, celebrates its 10th anniversary with a controversial rebrand to HTX, signaling a fresh era. The name amalgamates "H" from Huobi, "T" from Tron, and "X," possibly denoting its 10-year milestone or just “exchange.” HTX aims for a metaverse-free port, envisioning financial freedom for all 8 billion global residents. It focuses on global expansion, ecosystem growth, wealth impact, and security compliance

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=> PayPal introduces Off Ramps for seamless crypto-to-USD conversion directly into PayPal balances for U.S. users. This expansion complements their earlier On Ramp service, allowing convenient crypto purchases.

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As a result of this new product, Web3 platforms gain access to PayPal's vast user base, with robust security measures included. The move underscores PayPal's commitment to shaping the future of digital finance, following recent initiatives like the introduction of stablecoin PYUSD.

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=> The U.S. SEC has made an unusual move in its case against Binance, filing a sealed motion with more than 35 exhibits. This step has sparked speculation, with many suggesting it's to avoid interfering with a larger DOJ investigation or due to sensitive forthcoming charges.

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However, legal experts, crypto enthusiasts, and experts, including a former SEC official, John Reed Stark, believe this sealed motion could relate to money laundering allegations or other criminal misconduct. It's a significant development, with over 35 exhibits in play, hinting that something substantial is on the horizon.

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=> Binance.US, the US-based cryptocurrency exchange, is facing more top executives leaving after CEO Brian Shroder's departure and staff layoffs. The Wall Street Journal reported that Head of Legal Krishna Juvvadi and Chief Risk Officer Sidney Majalya are departing.

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Juvvadi was one of the company's contacts for communicating with the SEC, which is taking legal action against Binance.US for unregistered securities operations. The company has also seen the departures of executives and layoffs this year. Nevertheless, Changpeng Zhao, the founder of the exchange, took to Twitter to address customers' concerns about these latest developments, saying it’s just a “deserved break.”

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=> Grayscale Investments has won a lawsuit against the U.S. Securities and Exchange Commission (SEC) for its refusal to review its application for a Bitcoin exchange-traded fund (ETF). The SEC had previously rejected Grayscale's application, arguing that the Bitcoin market was not sufficiently regulated to support an ETF.

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However, a federal judge ruled that the SEC's decision was arbitrary and capricious, and ordered the agency to review Grayscale's application within 60 days.

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=> The U.S. Securities and Exchange Commission (SEC) has pushed back decisions on spot Bitcoin exchange-traded fund (ETF) applications from major firms, including BlackRock, WisdomTree, and Invesco Galaxy, until October.

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=> Gemini earn users may get full crypto refund under new DCG plan.

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=> Coinbase Aims to Boost Bitcoin Adoption with Lightning Network Integration.

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=> Sui Network bridges the gap between Web2 and Web3 with Google, Facebook Logins.

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=> Genesis, a cryptocurrency trading company, has decided to halt all of its trading operations. This decision comes as a result of significant challenges faced by the company, including the collapses of Three Arrows Capital and FTX.

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In addition to shutting down its U.S. desk, Genesis is also closing its international spot and derivatives trading operations. This means that Genesis will no longer offer trading services through any of its business entities.

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=> Israel and Hong Kong Successfully conduct a retail CBDC test, Prioritizing privacy and inclusivity.

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=> Deutsche Bank has partnered with Swiss crypto firm Taurus to provide custody services for institutional clients' cryptocurrencies and tokenised assets. The partnership means Deutsche Bank will, for the first time, be able to hold a limited number of cryptocurrencies for its clients, as well as tokenised versions of traditional financial assets.

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Cryptos: spot, derivatives and “on chain” metrics

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Bitcoin is up 2.69% in the past 7 days, while Ethereum has been named the least popular digital asset of 2023 among exchange-traded product (ETP) investors. This comes as the cryptocurrency market faces a resurgence of bearish sentiment, with four consecutive weeks of outflows from digital asset investment products.

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The rest of the market, however, is mostly painted in red. Altcoins, for the large part, are trading at a loss for the week. Ripple is down 1.9%, BNB -1.2%, Ethereum -1%, Solana -4%, Cardano -3%, and so forth. Of course, there are those who increased. These include TRX, which is up around 6%, and Toncoin (TON), which is this week’s best performer from the major altcoins, charting gains upwards of 8.5% for the week.

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This coming week is shaping up to be a busy one for financial events, some of which may impact crypto market movements. The largest event is the Federal Reserve meeting on Wednesday, when another interest rate decision will be made.

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Market Cap: $1.08B | 24H Vol: $32B | BTC Dominance: 47.1%

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Gainers / Losers last 7 days, block size volume.

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Bitcoin

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One month ago in a single session we lost all short-term buying controls, the upper Vpoc $28100, the Vwap anchored at the previous highs and the Vwap anchored at the lows of the rally that began in early March of this year. 

It is now up to demand to really prove that this was a derivative liquidation event, and to do so it must reconquer the above high volume node $28100. Our bias as long as it does not achieve all of the above is neutral and with special attention to the loss of $26,000, which is where the demand has been defending itself. 

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Bitcoin 21/08/23 30 min chart

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Bitcoin 28/08/23 30 min chart

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Bitcoin 18/09/23 30 min chart

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Clearly the market has been defending itself these past two weeks from further declines. We insist once again that demand has to conquer the $28100 level to reverse this weak dynamic. Let's go down in timeframe to further refine the analysis.

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The market, after a first failed attempt, has to unbalance to the upside to conquer the $28,100 level in order to be able to propose any solid bullish scenario. If we find again rejection of the $28100 area coinciding with the VWAP anchored at the highs of the recent downward momentum, all the alarms would go off if the buying control at $26000 is neutralized. In this case, it would open the door to look for the $23000 level. 

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Moving up in the time frame is where we see the impact of this massive sell-off that has even called into question the imbalance of the main value area. If the market consolidates the decline below $28100 and the VWAP marked in blue, the risk of a failed major bullish imbalance is greatly increasing. 

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The market has to defend itself now to avoid a failed bullish imbalance and re-enter the main value area. In addition, the bulls have to regain the $28100 area with strength and conviction. An imbalance failure of a structure generally results in a return to value, i.e. a return to the inside of the accumulation range initiated after the FTX event. Should this return to value occur after the failure of the bullish imbalance, the bulls will have to react vigorously, otherwise the market could be in real trouble.

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Bitcoin 28/08/23 4h chart

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Bitcoin 18/09/23 4h chart

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Ethereum

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After crashing back into the Vwap anchored at all time highs, the market has returned with vigor to the demand zone between $1700 and $1500. After the sharp BTC sell-off one month ago, the market reaction in the demand area has been quite poor. This zone is key, as the loss of this zone would mean that sellers are back in control.

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Ethereum 28/08/23 4h chart

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Ethereum 18/09/23 4h chart

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BNB

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We will closely monitor the evolution of BNB as a measure of risk perception. BNB is the cryptocurrency coin that powers the BNB Chain ecosystem. BNB is one of the world's most popular utility tokens and it is used primarily to pay transaction and trading fees on the Binance exchange. It is Binance's flagship token.

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At first glance we note that the Vwap anchored at highs has never been exceeded or practically tested since late 2021. The vigorousness with which the Vwap anchored at the local lows of June 2022 has been broken through makes us aware of the major weakness on this token. 

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Clearly, the area to watch is the historical support at $220 and we are already in this area with little reaction, from there Binance could start to have problems. We believe it is very necessary to follow very closely the evolution of this token, as it could anticipate a new CEX crisis.

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BNB 28/08/23 4h chart

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BNB 18/09/23 4h chart

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Classic markets

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The 10-year to 3-month Treasury yield curve is deeply inverted.  While many focus on the inversion, what matters more is when we steepen into positivity out of it. If you look closely at the chart below, and consider the dates involved, the steepening is when trouble started in the past.

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The Treasury curve has been inverted for a long time.

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Rates on the two-year note have risen to levels we haven’t seen since the Great Finance Crisis as the market continues to adjust to the notion of “high for longer”.

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Earnings yields are thoroughly below cash yields, which often leads to a re-rating of risk lower. Something to be mindful of if we’ve yet to see the trough in earnings as valuations for the biggest gainers this year are quite stretched.

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The divergence between the S&P 500 P/E and the 10-year U.S. 10-year real bond yield (inverted) is insane. The two usually have a positive correlation, but lately that has not been the case as real yields rise and stocks rise as well. If there were to be a month where risk could potentially be re-rated, September is often that month, with markets falling more during Septembers since 1985 than any other month.

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Speaking of stocks, global tech shares are trading at the highest PE since the Dot Com bubble, which suggests that we may yet again be in a bubble as most of the gains year-to-date have been driven by multiple expansion rather than earnings improvement.

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Morgan Stanley, who has been more bearish on this market and earnings, projects 0% earnings growth this year in the S&P 500, with tech growing at just 1%. It does beg the question as to whether tech shares should have such an incredibly strong bid if earnings aren’t following along.

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Most of the gains have been focused in AI proximal stocks. They’ve helped to drive the S&P 14% higher year to date. Without those same stocks the index has only climbed 4.5% in 2023. The concentration is so stark that in the NASDAQ 100, the top five stocks account for about two-thirds of all of the year-to-date gains, with Nvidia alone driving the NASDAQ up 6.7% year-to-date.

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Leveraged players like hedge funds are also very, very long mega cap tech. In fact they’re the most long on record, which suggests that the trade may be a little bit crowded right now.

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Recession probabilities have tumbled across multiple asset classes, which may just be a bit of a contrarian indicator.

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Energy tends to outperform during hard landings, and we are seeing that outperformance now. Whether it portends to such a scenario remains to be seen, but a trend prior to many recessions is a large rise in oil prices before the hard landing.

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With the Saudi Arabian and Russian oil production cuts extending until December and demand rising, there’s a deficit of crude that could keep a floor under price.

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The US Strategic Petroleum Reserve is at a 40-year low while oil prices hover near 10-month highs. Any unexpected significant supply disruption could be problematic, and push prices meaningfully higher. Something to keep in mind as we enter peak hurricane season.

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Hedge Funds have increased bullish bets on oil to the highest level in 15 months.

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We can’t talk about oil without mentioning Saudi Arabia, who has been selling down their Treasury holdings, with the largest sale during 2020 when about $65 billion of US Treasury exposure was jettisoned in part to fund the purchases of US risk assets.

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Global liquidity has fallen by $1 trillion over the last 10 weeks, helping to drive the dollar and rates higher. The question is whether this will weigh on global equities.

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Prior correlations would suggest that indeed, it should, but for now the Magnificent Seven are holding the market up, defying gravity.

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“Softlanding” narrative remains strong after the vacations and triggers big inflows into equities.

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But…. in nearly seven decades there has never been a post-inversion equity rally that was not completely reversed going into subsequent recessions/bear markets.

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The market has defended itself during August and September from further declines. Holding the June VPOC, which has established itself as a clear buying trench. After the reaction at this VPOC of 4425 points, the market has started a bullish dynamic, which in our opinion is a corrective pattern with little strength and with very overlapping movements. The key for the bears is to break the VWAP (red) anchored at the recent lows. In this situation and with all the above mentioned, a situation of high risk of a generalized sell-off in the markets could open up.

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As we already know, after Opex, the so-called "weakness window" opens, where the market is more subject to move freely without being affected by the flows derived from the options. 

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Last Friday Opex was the largest September options expiration on record, driven by growth in index and ETF options volumes. Over $3.4 trillion of notional options exposure have expired this Friday, including $555 billion of notional single stock options. Simply brutal and a true reflection of how heavily dominated the market is by the flow of options.

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28/08/23 SP500 4h chart. Big picture

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18/09/23 SP500 4h chart. Big picture

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18/09/23 SP500 futures small picture

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The Gamma Profile of the market after Opex presents a clear bearish bias, with a lot of accumulated gamma in lower strikes, highlighting 4400 strike. At the same time, we are back in a negative gamma regime, so volatility may come back into play. Certainly, the market has had its opportunity to move higher before OPEX, accompanied by a positive gamma regime, however such opportunity has had a very poor outcome. As always in a Fed week, Powell will be the key.

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If the market does not get what it wants from Powell, we can say that risk assets are in a risk-off situation not seen since March of this year. The yield curve doesn't matter until it matters, and risk always comes at once. Many times nothing catastrophic needs to happen, but it is the way the market is set up for something to happen.

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Gamma Profile 18/09/23

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It is now important to monitor how extreme the bearish sentiment in options positioning is after Opex, in order to be prepared for potential short squeezes. The SPY Skew shows that we are still far from the bearish panic zone, with a first rejection of the 250-day average of this Skew (yellow level). Therefore, everything seems to indicate that there could be more downward movement with less risk of short squeeze based on the metrics shown below.

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