The market continues to show signs of inefficiency. Since my last post, Oil has regained lost ground and is climbing back towards the range. Since traders are digesting geopolitical risk, it is useful to look elsewhere to assess whether this may be a reversion back to the Supply Zone or if there is underlying risk-off positioning.
Equity prices are still high, having retreated slightly from ATHs, yet the Equity Risk Premium is extremely weak due to pressure from Real Yields. It is worth noting that Breakevens
T5YIE are not falling sharply like they were in May and June, while nominal yields US05Y are showing signs of acceptance. Real yields DFII5 could weaken if there is divergence between Breakevens and nominal yields, which would provide support to the Equity Risk Premium.
FX is reflecting yield seeking and positioning in favor of strong Oil. I would consider this risk-on with a geopolitical caveat.
Lastly, my market structure dashboard shows that the market has been paying up for Volatility protection over the last few sessions, notably more so in the form of convexity protection (
VVIX). Skew is crowded SSDEX and the market is already expecting low breadth, so there is liquidity if expensive protection is no longer needed.
Macro Dashboard
FX Dashboard
Swing Dashboard
Structure Dashboard
Equity prices are still high, having retreated slightly from ATHs, yet the Equity Risk Premium is extremely weak due to pressure from Real Yields. It is worth noting that Breakevens
T5YIE are not falling sharply like they were in May and June, while nominal yields US05Y are showing signs of acceptance. Real yields DFII5 could weaken if there is divergence between Breakevens and nominal yields, which would provide support to the Equity Risk Premium. FX is reflecting yield seeking and positioning in favor of strong Oil. I would consider this risk-on with a geopolitical caveat.
Lastly, my market structure dashboard shows that the market has been paying up for Volatility protection over the last few sessions, notably more so in the form of convexity protection (
VVIX). Skew is crowded SSDEX and the market is already expecting low breadth, so there is liquidity if expensive protection is no longer needed. Macro Dashboard
FX Dashboard
Swing Dashboard
Structure Dashboard
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。