پست‌های تلگرام 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. 

U.S. EQUITIES COLOR: WHIPLASH

Whiplash with a partial recovery in tech in the absence of new information (NVDA +9% today and “only“ down ~8% this week) while Equal Weight squishy. Yesterday was “special” as our pb data shows that the avg fundamental L/S HF lost 110bps of ytd performance amidst the largest notional net selling in US single stocks since September of 2024 (-2.5SDs), driven by risk unwinds via long liquidations.   Convos today (again) reflected a reasonable debate if recent developments actually change the architectural views that one held - even a week ago re: power / silicon / manufacturing – or, if this episode is more of a prudent market reset on valuations amidst market complexity and strong YTD price action (at this point TSM, VST, GEV types are up on the year and names like NVDA, MRVL, ANET have clawed back to down 3-5% ytd).
Where to from here? feels like near-term volatility may be here to stay, but, at least we’ll likely get more “hard reads” from corporates in the coming days (e.g. views on the “inference” cycle and, in turn, status of the tools needed to drive AI adoption - and, in turn, AI monetization). Ty Callahan

GS Prime Brokerage

Overall book Gross leverage +8.6 pts to 284.8% (5-year high) and Net leverage +0.9 pts to 77.4% (73rd percentile 1-year). Overall book L/S ratio -1.1% to 1.747 (25th percentile 1-year). Fundamental L/S Gross leverage +4.3 pts to 198.4% (5-year high) and Net leverage +1.4 pts to 57.9% (96th percentile 1-year).

Global equities were net sold for a 3rd straight week (4 of the last 5), driven by increased gross trading activity with short sales outpacing long buys (1.3 to 1).
Nearly all regions (sans DM Asia) were net sold, led in notional terms by Emerging Markets, North America, and Europe.

Historical Gamma at Spot ($mm)

Gamma Profile Across Spot Levels ($mm)

Eq Positioning and Key Levels

CTA Flows:
Over the next 1 week…
Flat tape: +$34bn to buy (+$6.5bn SPX to buy)
Up tape: +$38bn to buy (+$6bn SPX to buy)
Down tape: +$4bn to buy (-$3bn SPX to sell)

Over the next 1 month…
Flat tape: +$55bn to buy (+$7bn SPX to buy)
Up tape: +$104bn to buy (+$17bn SPX to buy)
Down tape: -$124bn to sell (-$32bn SPX to sell)

Key pivot levels for SPX:
Short term: 5959
Med term: 5795
Long term: 5314

As for flows on the desk, we saw buyers of upside in the morning as traders chased the market rally. We also continued to see several buyers of Jan VIX binaries and again saw a large seller of Feb vol of vol in the afternoon. Following the largest non-quarterly expiry in history this morning (~1.8tn notional of SPX options alone expired), dealer gamma positioning has cleaned up. Next Tuesday marks the first day of market activity during Trump 2.0 and all eyes are on the Monday's inauguration given the administrations plan to hit the ground running. Tuesday's straddle goes out at 66bps (~$39.60) and next Friday's straddle goes out at 1.33% (~$79.80).

Notable Trades:
SPX Feb 6225 c paper bot 4k for 15.3
VIX Feb 19 c paper sold 75k at 1.27
VIX Jan 18 19 cs paper bot 11k for 0.08
VIX Jan 17 18 cs paper bot 10k for 0.11

Equity Index Vol Update 17Jan25

Summary:
SPX: 5,996.66 (+1.00%)
NDX: 21,441.15 (+1.66%)
RUT: 2,275.882 (+0.40%)
VIX: 15.97 (-0.63pts)
EEM: 42.09

Equity markets capped off their best week since November with a strong rally across major indices. Much of the rally took place in the pre-market, leading SPX, NDX and RUT to large up prints on this mornings SQ. Spot vol correlation was heavily inverted for most of the day as vols opened bid, continued to rally as spot grinded higher and came in as spot sold off. Fixed strike vols were up across the surface today, ultimately rallying more in the front of the curve after we saw a parallel shift up across the tenors in the morning. In floating strike space, the VIX futs curve shifted up slightly beyond ux1 and, despite a large seller in the front of the curve, vol of vol caught a small bid. Skew came in on the day across the surface, especially in the front.