貝殼街倉庫

DERIVS: Despite all of the tariff headlines, it was a very quiet start to the week on the vol desk. Post-open we saw mostly monetization of index hedges before flow fell off with the rally the rest of the day. Over the last few weeks we had seen demand for upside in China internet via BABA, and today we saw some profit taking here after a small pull back. Realized vol is starting to tick up as the intraday band was 165bps. With dealer gamma positioning pretty flat, the straddle for the rest of the week is still implying a 1.75% move.

On the trading side, heavier macro footprint today, single-stock activity (& inbounds) were indeed slower. Gross activity level was materially lower to start this week vs. what we saw wire-to-wire last week. Liquidity tougher (top of book only $3.4mm – new YTD low), gamma shorter, levered ETF volumes huge, lots of 1 day events driving the flow, that expire at 4pm and start over.
Our floor was a 5 on a 1-10 scale in terms of overall activity levels. Overall executed flow finished +53bps vs +75bps 30 day avg. LOs finished -$1b net sellers driven by macro products and tech while HFs finished $1b net buyers driven by demand in Hcare, Comm Services, and Industrials.

U.S. EQUITIES COLOR: ANOTHER TOUGH MONDAY

Another rough start to the week with equities heavy as Trump Tariffs have sent shockwaves throughout global macro assets. President Trump signed executive orders imposing an incremental 25% tariff on imported goods from Mexico and Canada (energy imports from Canada will be subject to an incremental 10% tariff) and an incremental 10% tariff on imports from China – effective tomorrow. 
 
The new tariffs have potential to: raise inflation (our economists have estimated a hit of ~70bp to PCE); lower growth (by ~40bp); reduce S&P 500 EPS (by ~2-3%); and suppress the S&P 500 P/E multiple (by ~3%)...but for all of these things to happen, the tariffs as announced would need to remain in place for a sustained period of time - something which we think is unlikely to occur

Our floor was a 5 on a 1-10 scale in terms of overall activity levels. Overall executed flow finished +196bps vs -58bps 30 day avg. Clearly not out of the DeepSink woods yet but price action and trading activity on our desk was healthy.
LOs finished +$700m net buyers driven by pockets of tech, Hcare, and Staples. There was an immense focus on software with space ripping...many names remain crowded shorts: APP, RDDT, CRWD, DDOG, NET types.  HFs finished slight net sellers, driven by supply in macro products and Hcare vs demand in tech (notably software).  

Market volumes remain explosive +43% vs 20dma (yet down 20% vs yesterday). S&P Top of Book liquidity and bid ask spread both running healthy (80th + percentiles over 1 yr look back). FOMC 2pm tomorrow then IBM, META, MSFT, TSLA reporting post close. AAPL reports on Thursday. We are optimistic these prints and management commentary will be solid/constructive.