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SignalPlus Morning Briefing 15 Sep 2022

SignalPlus

Democratizing Options for Digital Assets

发布日期: 2022年9月15日

Good morning and welcome to SignalPlus's daily macro commentary.

Markets took a breather today with a small rally in US stocks late in the session, while the USD softened by treasury yields continued their march higher today. Unlike in years past, US stocks have only managed a flattish bounce after large sell off days (Z-score) instead of any rapid rebounds, which is indicative of the bear market sentiment all year.

The BoJ also intervened in markets during the early Tokyo session which took USDJPY from 145 down to 142 at the lows. The final tally saw the SPX in the green by +0.3%, USD crosses off by -0.2%, energy up +2%, and treasury yields bear flattening by another 3.5bp in 2/10s. At -33bp, US 2/30s are now at the most inverted levels seen at the start of the dot-com bubble, reflecting the bond market's concerns over a Fed hiking into a significant slowdown.

Furthermore, on a price drawdown basis, 2022 has seen the worst drawdown on record at around -14% on the US Aggregate Bond Index, eclipsing even the collapse in 1980.

Data-wise, PPI came in yesterday mostly in-line and was a market non-mover. Today will see the release of Empire Manufacturing and Retail Sales, the latter of which will potentially be a mover, and we might be in a paradoxical situation where "good news is bad news" for the stock market should spending remain robust. Fed Fund futures are currently pricing in ~25% of a 100bp hike next week, down from 38% yesterday, with a number investment banks pushing back and reiterating their view of a 75bp move, with Elon even chipping in and suggesting a 25bp cut as the appropriate action. However, the short-term outlook will be complicated by the impending US railroad strike, which will fuel further inflation worries at the worst time for the Fed. Finally, tomorrow will see another large option OPEX day, with $3.2 trillion of options expiring as per GS and it'll be interesting to see how much of the exposure will be rolled over.