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2021-07-22

FUD

Entering The Worst Seasonal Period Of The Year, And 10 Other Reasons Why Goldman Braces For An August Correction<blockquote>进入一年中最糟糕的季节性时期，以及高盛准备迎接8月份调整的其他10个原因</blockquote>

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Daveb
2021-07-22
Daveb
YEp ......as usual

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What happens to the equity market when there is an outflow and buy demand slows?\" As we read below, the most appropriate answer is \"nothing good.\"<blockquote>所以事不宜迟，下面是鲁布纳，他展示了他的“8月份修正的11点清单”，首先注意到“过去48小时内我收件箱/IB中出现的第一个问题。当资金外流且购买需求放缓时，股市会发生什么？正如我们在下面读到的，最合适的答案是“没什么好的。”</blockquote> 11 point Checklist - Consensus client feedback for a quick equity risk reduction into potentially lower buy demand into Jackson hole. The consensus feedback seems to be calling for a -5% correction, which really gets to -4%. This is a recap of the talking points about to hit your inbox this week. I think this morning’s rally gets faded as buy tickets are completed early in the day. “Selling rallies” is the new dynamic vs. buying dips. 1. Weak Seasonals- Since 1928, we just exited the best two-week period of the year. Friday’s option expiry ended the best seasonal period of the year.August seasonals are not market friendly and trend lower all of August, for the 4th worst two-week seasonal period of the year. Today you are here and Jackson hole is the low point of this chart. Since 1950, there have been 19 times in 72 years that the S&amp;P is up at least &gt;10% through the first half of the year. The median return for August specifically, following a strong 1H is typically down -51bps, before rallying higher.<blockquote>11点清单-一致的客户反馈，以快速降低股票风险，从而降低杰克逊霍尔的潜在购买需求。共识反馈似乎要求修正-5%，实际上达到了-4%。这是本周即将进入你收件箱的话题的回顾。我认为今天早上的反弹会随着当天早些时候买票的完成而消退。“逢高卖出”是与逢低买入的新动态。1.季节性疲软——自1928年以来，我们刚刚结束了一年中最好的两周时期。周五期权到期结束了一年中最好的季节性时期。八月季节性对市场不利，整个八月呈下降趋势，为一年中第四糟糕的两周季节性时期.今天你在这里，杰克逊霍尔是这张图表的低点。自1950年以来，72年来，S&amp;P指数有19次在上半年上涨至少超过10%。在强劲的1H之后，8月份的回报率中值通常会下降-51个基点，然后反弹走高。</blockquote> <img src=\"https://static.tigerbbs.com/f41d55d3d45aecb40b0f24e53de17363\" tg-width=\"694\" tg-height=\"499\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 2. Largest outflows of the year- Investors allocate capital into the market in July and we have seen these record inflows. This is the biggest dynamic in the equity market this year period. Inflows continue at a record pace, annualizing at $1.2 trillion inflows for 2021. 401k inflows predominately flowed in S&amp;P and NDX rather than ROW.<blockquote>2.年度最大流出量-投资者在7月份向市场分配资金，我们已经看到了这些创纪录的资金流入。这是今年股市最大的动态。资金流入继续以创纪录的速度增长，2021年年流入量为1.2万亿美元。401k资金主要流入S&amp;P和NDX，而不是ROW。</blockquote> <img src=\"https://static.tigerbbs.com/9d67c2e0a1590d44ff3be03c2c86c88e\" tg-width=\"645\" tg-height=\"368\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/a58d02645303f22b7e53b58698e11f56\" tg-width=\"508\" tg-height=\"338\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 3. Reversal of flows predicted for August- Equity inflows are not common in August. Over the last 30 years,August typically sees the largest outflows of the year. -15bps of AUM typically leaves stock market funds in August, on ~22 Trillion, we model -$33B worth of equities for sale.<blockquote>3.8月份预测流量的逆转——8月份股权流入并不常见。在过去的30年里，八月通常是一年中最大的资金流出.-15个基点的资产管理规模通常会在8月份离开股市基金，我们模拟价值约22万亿美元的股票待售。</blockquote> <img src=\"https://static.tigerbbs.com/3308ac184f4fde82ba6c27fbcfbdd86f\" tg-width=\"579\" tg-height=\"340\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/005f51048f49a72597db950884245e8c\" tg-width=\"563\" tg-height=\"351\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 4. Outflows cont.To be clear, -$33B is not a significant $ figure when adjusted for market cap, however more important is that it’s not an inflow. The index level has remained at ATHs given inflows bid up the largest and biggest market cap index weights. On Monday we saw a large MOC imbalance for sale, this was unusual.<blockquote>4.流出续。需要明确的是，-330亿美元在调整市值后并不是一个重要的数字，但更重要的是它不是流入。鉴于资金流入抬高了最大和最大市值指数权重，该指数水平仍保持在ATHs。周一，我们看到一个巨大的MOC失衡出售，这是不寻常的。</blockquote> <img src=\"https://static.tigerbbs.com/d98939cb6e06e80bc643fdca6801fb0a\" tg-width=\"268\" tg-height=\"474\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 5. Passive flows drive largest marketcaps- Passive ETFs logged the best full year of inflows on record, in just the first half of the year. (+500b). I watch the tape every day register large MOC imbalances to buy at 3:50pm EST,but what if this dynamic fades.Remember $1 inflow into SPY flows $.23 cents into top 5 companies and $1 inflow into QQQ flows $.41 cents into top 5. If inflows flip to outflows you will no longer see broad index dynamic.Then investors need to decide which sector becomes the funding source for outflows.<blockquote>5.被动流动推动最大市值-仅在今年上半年，被动型ETF就创下了有记录以来最好的全年资金流入。(+500b)。我每天都看录像带记录大量的MOC失衡在美国东部时间下午3:50购买，但是如果这种动力消失了呢？请记住，流入SPDR标普500指数ETF的1美元将流入前5名公司0.23美分，流入QQQ的1美元将流入前5名公司0.41美分。如果流入转为流出，您将不再看到广泛的指数动态。那么投资者需要决定哪个板块成为流出的资金来源。</blockquote> Just how important has this been for the S&amp;P 500? Important!<blockquote>这对标普500有多重要？重要的！</blockquote> <ul> <li>Global Equity: 1-year: +$600B passive (IN) vs. $0.0B active (OUT) = &gt;$600B.</li> <li>Global Equity: 5-year: +$2.30T passive (IN) vs. -$1.90T active (OUT) = &gt;$4.2T</li> <li>Global Equity: 10-year: +$4T passive (IN) vs. -$3.0T active (OUT) = &gt;$7.0T</li> <li>Current Global Equity Active AUM of $10.099T exceeds &gt; Current Global Equity Passive AUM $7.225 T.</li> </ul> <img src=\"https://static.tigerbbs.com/72aadadcd243a659f1e3cc9fc8f75c1b\" tg-width=\"666\" tg-height=\"375\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/5419e040f7d023061743d473ffef59d1\" tg-width=\"666\" tg-height=\"375\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/4fff3382eec0b783b12411fb653c6718\" tg-width=\"663\" tg-height=\"377\" referrerpolicy=\"no-referrer\"><blockquote><ul><li>全球股票：1年期：+600B美元被动（入）与0.0 B美元主动（出）=&gt;600B美元。</li><li>全球股票：5年期：+$2.30 T被动（入）vs.-$1.90 T主动（出）=&gt;$4.2 T</li><li>全球股票：10年期：+$4T被动（入）vs.-$3.0 T主动（出）=&gt;$7.0 T</li><li>当前全球股票主动资产管理规模为10.099吨，超过当前全球股票被动资产管理规模7.225吨。</li></ul></blockquote> Side note: ETFs represented 36% of the notional executed volumes, last levels since in March/April 2020. (YTD average) = 24%. Did you see the massive volumes in SQQQ Monday (3x short QQQ)?<blockquote>旁注：ETF占名义执行量的36%，为2020年3月/4月以来的最后水平。（年初至今平均值）=24%。你看到SQQQ周一的巨量（3倍空头QQQ）了吗？</blockquote> 6. Single Stock Calls- This is set up is very similar to July and August 2020 blow-off top as a result of call option trading. Reminder, S&amp;P sold off -392bps in September 2020 after call option volumes started to fade.<blockquote>六、单一股票评级-这是非常类似于2020年7月和8月看涨期权期权交易的结果吹顶。提醒一下，在看涨期权期权交易量开始消退后，标准普尔在2020年9月抛售了-392个基点。</blockquote> <ul> <li>Option notional has averaged an all-time record of +$550B per day in July. The top 3 traded stocks (AAPL, AMZN, and TSLA) make up $300B of daily volumes. Breadth in both options and stocks is low.</li> <li>\"Of 4000 Tradeable Single Stock options, the top 3 names make up 56% of the daily avg notional traded. Adding in the next 7, that ratio jumps to 72%.\"</li> <li>\"Said another way the top 10 underliers trade 3x more notional on an average day than the bottom 3990”</li> <li>This is an important dynamic to monitor.</li> </ul> <img src=\"https://static.tigerbbs.com/be539bca2d8b556e65d32bbe28f2abb4\" tg-width=\"676\" tg-height=\"441\" referrerpolicy=\"no-referrer\"><blockquote><ul><li>7月份，Option notional的平均交易量创下了每天+5500亿美元的历史纪录。交易量最大的3只股票（AAPL、AMZN和TSLA）的日交易量为300B美元。期权和股票的广度都很低。</li><li>“在4000份可交易的单一股票期权中，前3名占每日平均名义交易量的56%。加上接下来的7份，这一比例跃升至72%。”</li><li>“换句话说，前10名底层股票平均每天的名义交易量是底部3990点的3倍”</li><li>这是一个需要监控的重要动态。</li></ul></blockquote> 7. Call Options cont.- Retail has pivoted from trading weekly call options on GME and AMC - only $6B combined notional per day to the stay-at-home playbook. The names with the highest daily option trading are also the largest index weights. In addition to ETF flows, the retail call option buying frenzy also takes the street short weekly gamma on single names. 75% of single stock options traded today have an expiry of two weeks or less.Said another way, given GS YOLO risk sentiment basket has rolled over, does AAPL need to catch down next (or at least not see YOLO flows).<blockquote>7.看涨期权期权续。-零售业已从每周在GME和AMC上交易看涨期权期权（每天名义价值仅为6B美元）转向居家策略。每日期权交易量最高的公司也是指数权重最大的公司。除了ETF流量之外，散户看涨期权期权购买狂潮也导致了单一股票的街头空头每周伽马值。今天交易的75%的单一股票期权的到期时间为两周或更短。换句话说，鉴于GS YOLO风险情绪篮子已经滚动，AAPL下一步是否需要赶上（或者至少看不到YOLO流量）。</blockquote> $181bln/day AMZN<blockquote>1810亿美元/天AMZN</blockquote> $ 82bln/day TSLA<blockquote>820亿美元/天TSLA</blockquote> $ 36bln/day AAPL<blockquote>360亿美元/天AAPL</blockquote> --------------<blockquote>--------------</blockquote> TOTAL TSLA/AMZN/AAPL: $299bln/day&nbsp; ------- What happens if call volume in mega cap tech declines?<blockquote>TSLA/AMZN/AAPL总额：2990亿美元/天——如果大型科技股的看涨期权交易量下降会发生什么？</blockquote> <ul> <li>$ 26bln/day NVDA</li> <li>$ 14bln/day GOOGL</li> <li>$ 11bln/day FB</li> <li>$ 10bln/day MSFT</li> <li>$&nbsp; 8bln/day SHOP</li> <li>$&nbsp; 8bln/day GOOG</li> <li>$&nbsp; 8bln/day NFLX</li> <li>$&nbsp; 7bln/day BABA</li> </ul> --------------<blockquote><ul><li>260亿美元/天NVDA</li><li>140亿美元/天GOOGL</li><li>110亿美元/天FB</li><li>100亿美元/天MSFT</li><li>80亿美元/天的商店</li><li>80亿美元/天GOOG</li><li>80亿美元/天NFLX</li><li>70亿美元/天阿里巴巴</li></ul>--------------</blockquote> TOTAL GOOG/GOOGL/MSFT/FB/NFLX/NVDA/SHOP/BABA: $90bln/day<blockquote>GOOG/GOOGL/MSFT/FB/NFLX/NVDA/SHOP/BABA总计：900亿美元/天</blockquote> <ul> <li>$&nbsp; 4bln/day AMC</li> <li>$&nbsp; 2bln/day GME</li> </ul> --------------<blockquote><ul><li>40亿美元/天AMC</li><li>20亿美元/天GME</li></ul>--------------</blockquote> TOTAL AMC/GME: $6bln/day&nbsp; ------- No Mo’ Yolo? See chart below.<blockquote>AMC/GME总额：60亿美元/天——没有莫约洛？见下图。</blockquote> All other underlyings: $141bln/day<blockquote>所有其他基础资产：1410亿美元/天</blockquote> Total single stock option market:<blockquote>单一股票期权市场总额：</blockquote> <ul> <li>$299bln/day TSLA/AMZN/AAPL</li> <li>$ 90bln/day GOOG/GOOGL/MSFT/FB/NFLX/NVDA/SHOP/BABA</li> <li>$&nbsp; 6bln/day AMC/GME</li> <li>$141bln/day All other underlyings</li> </ul> --------------------<blockquote><ul><li>2990亿美元/天TSLA/AMZN/AAPL</li><li>900亿美元/天GOOG/GOOGL/MSFT/FB/NFLX/NVDA/SHOP/BABA</li><li>60亿美元/天AMC/GME</li><li>1410亿美元/天所有其他基础</li></ul>--------------------</blockquote> $537bln/day Total<blockquote>5370亿美元/天总计</blockquote> <img src=\"https://static.tigerbbs.com/1f5678ad5b66dd918c2cbb51263c9df0\" tg-width=\"650\" tg-height=\"450\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 8. Option Gamma Unwinds- Option Expiry just rolled off -85% of the market long gamma. The market now has the ability to move more freely and trade less long gamma. Everyday last week the market would rally into the bell as dealers re-hedge their gamma (buying the dips). I get worried about summer end-of-day liquidity without gamma hedging and passive demand. I think there will be also a “institutional” demand to buy hedges into Jackson Hole fulling removing the long gamma taking the street short to hedge downside. We have seen more puts and put spreads on the desk this week than any week of 2021.<blockquote>8.期权Gamma平仓-期权到期刚刚下跌-85%的市场多头伽马。市场现在有能力更自由地波动，交易更少的多头伽马。上周的每一天，随着交易商重新对冲他们的伽马（逢低买入），市场都会在收盘时反弹。我担心没有伽马对冲和被动需求的夏季日终流动性。我认为还将有“机构”需求购买杰克逊霍尔对冲基金，消除多头伽马，让华尔街做空以对冲下行。本周我们看到的看跌期权和看跌价差比2021年任何一周都多。</blockquote> <ul> <li>Wednesday (7/14) SPX gamma = +$4,625B</li> <li>Thursday (7/15) SPX gamma = +$3,620B</li> <li>Friday (7/16) SPX gamma = +$3,136B</li> <li>Monday (7/19) SPX gamma = +$2,698B</li> <li>Tuesday (7/20) SPX Gamma = +$713B.</li> </ul> the Long S&amp;P 500 gamma has been reduced by -85% in the past 5 days taking dealers less long gamma.This dynamic changes market behavior and we are seeing little demand to systematically overwrite from here even despite the move higher in vols. This is new.<blockquote><ul><li>周三(7/14)SPX gamma=+$4,625 B</li><li>周四(7/15)SPX gamma=+$3,620 B</li><li>周五(7/16)SPX gamma=+$3,136 B</li><li>周一(7/19)SPX gamma=+$2,698 B</li><li>周二(7/20)SPX Gamma=+$713B。</li></ul>在过去的5天里，多头标普500伽马减少了-85%，交易商的多头伽马减少了。这种动态改变了市场行为，尽管成交量走高，但我们几乎没有看到系统覆盖的需求。这是新的。</blockquote> <img src=\"https://static.tigerbbs.com/b78215d53696f99f4c746f296ae2d225\" tg-width=\"797\" tg-height=\"598\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 9. Systematic- Non-economic is already near the max exposure and have little scope to add further from here. No threshold levels have triggered so far, but it is important to note the lack of ability to add from here, which asymmetrically skews the downside.<blockquote>9.系统性-非经济风险已经接近最大敞口，并且几乎没有进一步增加的空间。到目前为止，还没有触发阈值水平，但重要的是要注意缺乏从这里添加的能力，这不对称地扭曲了下行方向。</blockquote> <ul> <li>CTA- 90% percentile on 1-year rank, 84% percentile on 3-yr rank.</li> <li>GS models-$9B of equities for sale over the next week. CTA’s are sellers in an up tape, down tape, down big tape. That’s not common. Check out big asymmetry to the downside over the next 1 month.</li> <li>GS short term CTA ES1 Flip Level= $4,257.90. We tripped this circuit breaker yesterday, but are higher this am. I expect GS sell expectations to increase.</li> </ul> <img src=\"https://static.tigerbbs.com/3efe5f0b54f671b5c1b366ff5514cf5c\" tg-width=\"751\" tg-height=\"323\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/232a48ec7525cb179f6cd8bc285b7e55\" tg-width=\"499\" tg-height=\"300\" referrerpolicy=\"no-referrer\"><blockquote><ul><li>CTA-1年排名90%百分位数，3年排名84%百分位数。</li><li>GS型号-下周将出售90亿美元的股票。CTA是处于上涨带、下跌带、下跌大带的卖家。这并不常见。检查未来1个月的下行大不对称。</li><li>GS短期CTA ES1翻转电平=$4,257.90.我们昨天跳闸了这个断路器，但是今天上午更高。我预计GS卖出预期会增加。</li></ul></blockquote> b) Vol Control - 86% percentile on 1-year rank, 75% percentile on 3-yr rank. FYI. SPX Put/Call Ratio hit a fresh 1 year high yesterday.<blockquote>b)体积控制-1年等级为86%百分位数，3年等级为75%百分位数。仅供参考。SPX看跌期权/看涨期权比率昨日创下一年新高。</blockquote> <img src=\"https://static.tigerbbs.com/a5553785fd8a0a66e717f5579ba6ee91\" tg-width=\"500\" tg-height=\"300\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> c) Risk Parity - 100% percentile on 1-year rank, 53% percentile on 3-yr rank.<blockquote>c)风险平价-1年等级为100%百分位数，3年等级为53%百分位数。</blockquote> <img src=\"https://static.tigerbbs.com/9be4d94aa1cd38dad335c1424d3be626\" tg-width=\"500\" tg-height=\"300\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> d) Total Systematic - 92% percentile on 1-year rank, 80% percentile on 3-yr rank. This is important. This non-emotional demand is at the max and will be sellers lower.<blockquote>d)总系统性–1年等级为92%百分位数，3年等级为80%百分位数。这很重要。这种非情绪化的需求是最大的，卖家会更低。</blockquote> <img src=\"https://static.tigerbbs.com/4068fa4e9a8c6c06f77627c9ee6e07b8\" tg-width=\"500\" tg-height=\"300\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 10. Liquidity- The unofficial Rubner out of office outlook (OOO) reply meter. My note last week has week had the largest out of office kickbacks to the tune of “see you in a few weeks” or “gone fishing”. The upcoming calendar into Jackson Hole is important.<blockquote>10.流动资金-非官方的Rubner外出展望(OOO)回复表。我上周的笔记是“几周后见”或“去钓鱼”的办公室回扣最多的一周。即将到来的杰克逊霍尔日历很重要。</blockquote> <ol> <li>next few weeks, extended vacation schedule first time in 12 months, etc, moved forward because Jackson hole.</li> <li>Jackson Hole, August 26 (Thursday) - August 28 (Saturday) – Friday is the likely the key calendar, but potentially Saturday will be important. This moves hedges to the following week.</li> <li>Labor Day, September 6 (Monday exchange holiday) - late this year</li> <li>approximate First day of Children’s school, September 7 (Tuesday)</li> <li>Liquidity = August Summer – ZZZZ. Top book liquidity declined SUBSTANTIALLY into the sell off yesterday.</li> </ol> *** despite being ranked 10 in the checklist. This is really chart #1. Liquidity dried up substantially yesterday on the screens. This chart peaked at $36M last Monday to $10.810M yesterday. This is a drop of $25M $ or ~70% in on screws liquidity in 1 week.<blockquote><ol><li>接下来的几周，12个月来首次延长假期，等等，因为杰克逊霍尔提前了。</li><li>杰克逊霍尔，8月26日（星期四）-8月28日（星期六）-周五可能是关键的日历，但周六也可能很重要。这将对冲移至下周。</li><li>劳动节，9月6日（周一交换假期）-今年晚些时候</li><li>大约孩子开学第一天，9月7日（星期二）</li><li>流动性=八月夏季-ZZZZ。在昨天的抛售中，账面流动性大幅下降。</li></ol>***尽管在清单中排名第10。这实际上是图表#1。昨天屏幕上的流动性大幅枯竭。该图表上周一达到3600万美元的峰值，昨天达到1081万美元。这意味着螺丝流动性在一周内下降了2500万美元或约70%。</blockquote> <img src=\"https://static.tigerbbs.com/60db9087f28d7496be38eafbc0fa755e\" tg-width=\"650\" tg-height=\"450\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 11. Buybacks: Buybacks are here, but so is equity issuance, which neutralizes the buyback impulse. As corporates meet corporates. From Sales and trading colleague, John Flood in his most recent trading note.<blockquote>11.回购：回购来了，但股权发行也来了，中和了回购冲动。当公司遇到公司时。来自销售和交易同事John Flood在他最近的交易笔记中。</blockquote> “It has been a paper party and this paper is getting harder to place. Last week we priced 11 registered deals in the U.S. ($3b notional) and this week already working on another 18 ($10b). This is especially noteworthy while in the depths of July.“<blockquote>“这是一场纸面派对，而且这张纸面越来越难放置。上周我们在美国对11笔注册交易进行了定价（名义价值30亿美元），本周我们已经在处理另外18笔交易（名义价值100亿美元）。这在七月深处尤其值得注意。”</blockquote> <ul> <li>Last week there was $6.2 billion in equity issuance, compared with the July weekly average of $3.4 billion since 2000.</li> <li>Last week there were 27 equity deals brought to market, compared with the July average of 15 deals per week since 2000.</li> </ul> <img src=\"https://static.tigerbbs.com/b680be938f506ba528c382fdb7d805ba\" tg-width=\"897\" tg-height=\"606\" referrerpolicy=\"no-referrer\"><blockquote><ul><li>上周股票发行量为62亿美元，而2000年以来7月份每周平均发行量为34亿美元。</li><li>上周有27笔股票交易上市，而自2000年以来7月份平均每周15笔交易。</li></ul></blockquote> Bottom Line:Keep Tactical Flow of Funds Checklist on your radar for August. The technical market structure dynamics changes substantially during August. I think there will be a dip (-5%) and it is meant to be bought heading late into Jackson Hole.The consensus is calling for a larger equity market correction, I do not see it given the amount of capital in the system. I change my tone if we trigger key levels to the downside as sellers are lower. If August outflows actually happen, I think tech underperforms cyclical value reopen given high concentration and largest passive impact.Once we see the first outflow in August, this will be the macro trigger for a tactical short. Stay tuned and keep an eye on liquidity.<blockquote>底线：在八月份把战术资金流清单放在你的雷达上。8月份技术市场结构动态发生较大变化.我认为会有下跌（-5%），应该在杰克逊霍尔后期买入。人们的共识是呼吁股市进行更大规模的调整，考虑到系统中的资本数量，我认为这是不可能的。如果我们在卖家走低时触发关键水平下跌，我会改变我的语气。如果8月份的资金外流确实发生，我认为鉴于高度集中和最大的被动影响，科技股的表现不如周期性价值重新开放。一旦我们在8月份看到第一次流出，这将是战术性空头的宏观触发器.敬请关注，紧盯流动性。</blockquote>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Entering The Worst Seasonal Period Of The Year, And 10 Other Reasons Why Goldman Braces For An August Correction<blockquote>进入一年中最糟糕的季节性时期，以及高盛准备迎接8月份调整的其他10个原因</blockquote></title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; 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}\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nEntering The Worst Seasonal Period Of The Year, And 10 Other Reasons Why Goldman Braces For An August Correction<blockquote>进入一年中最糟糕的季节性时期，以及高盛准备迎接8月份调整的其他10个原因</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-07-22 15:19\n\n</h4>\n</header>\n<article>\nIn a stark reversal to its bullish sentiment at the start of the month, when the bank first noted - correctly - that the S&amp;P was entering itsbest 2-week seasonal period of the yearwhich it did between July 1 and 15 when it posted a series of new all time highs (before dumping on the 16th and the 19th)...<blockquote>这与本月初的看涨情绪截然不同，当时该行首次正确地指出，S&amp;P正在进入一年中最好的两周季节性时期，7月1日至15日期间公布了一系列新高（在16日和19日抛售之前）...</blockquote> <img src=\"https://static.tigerbbs.com/e7dc88222112e4655f492c56509f9d64\" tg-width=\"1280\" tg-height=\"467\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> ... followed by a lengthy rationalization why \"the shorts will have to cover\", Goldman has been turning surprisingly bearish in recent days, and two days after Goldman flow trader John Flood urged Goldman clients \"not to buy this dip\" on Monday (spoiler alert: they did) his trading desk colleague Scott Rubner has published a report previewing why he anticipates a correction in the coming days and continuing through the Jackson Hole symposium at the end of August.<blockquote>...在对为什么“空头必须回补”进行冗长的合理化解释之后，高盛最近几天出人意料地变得看跌，在高盛流量交易员约翰·弗洛德周一敦促高盛客户“不要逢低买入”两天后（剧透警告：他们做到了），他的交易部门同事斯科特·鲁布纳（Scott Rubner）发表了一份报告，预览了为什么他预计未来几天会出现调整，并将持续到8月底的杰克逊霍尔研讨会。</blockquote> His note, from which we excerpt below, contains the key arguments behind Goldman's August \"correction\" thesis, including tactical flow of funds, an acceleration of sellers, and feedback from the GS equity trading floor.<blockquote>我们在下面摘录他的报告，其中包含高盛8月份“修正”论点背后的关键论点，包括战术性资金流动、卖家加速以及GS股票交易大厅的反馈。</blockquote> So without further ado, here is Rubner, who lays out his \"11 point checklist for an August correction\", starting by noting that \"the #1 question that has hit my inbox/IB in the past 48 hours. What happens to the equity market when there is an outflow and buy demand slows?\" As we read below, the most appropriate answer is \"nothing good.\"<blockquote>所以事不宜迟，下面是鲁布纳，他展示了他的“8月份修正的11点清单”，首先注意到“过去48小时内我收件箱/IB中出现的第一个问题。当资金外流且购买需求放缓时，股市会发生什么？正如我们在下面读到的，最合适的答案是“没什么好的。”</blockquote> 11 point Checklist - Consensus client feedback for a quick equity risk reduction into potentially lower buy demand into Jackson hole. The consensus feedback seems to be calling for a -5% correction, which really gets to -4%. This is a recap of the talking points about to hit your inbox this week. I think this morning’s rally gets faded as buy tickets are completed early in the day. “Selling rallies” is the new dynamic vs. buying dips. 1. Weak Seasonals- Since 1928, we just exited the best two-week period of the year. Friday’s option expiry ended the best seasonal period of the year.August seasonals are not market friendly and trend lower all of August, for the 4th worst two-week seasonal period of the year. Today you are here and Jackson hole is the low point of this chart. Since 1950, there have been 19 times in 72 years that the S&amp;P is up at least &gt;10% through the first half of the year. The median return for August specifically, following a strong 1H is typically down -51bps, before rallying higher.<blockquote>11点清单-一致的客户反馈，以快速降低股票风险，从而降低杰克逊霍尔的潜在购买需求。共识反馈似乎要求修正-5%，实际上达到了-4%。这是本周即将进入你收件箱的话题的回顾。我认为今天早上的反弹会随着当天早些时候买票的完成而消退。“逢高卖出”是与逢低买入的新动态。1.季节性疲软——自1928年以来，我们刚刚结束了一年中最好的两周时期。周五期权到期结束了一年中最好的季节性时期。八月季节性对市场不利，整个八月呈下降趋势，为一年中第四糟糕的两周季节性时期.今天你在这里，杰克逊霍尔是这张图表的低点。自1950年以来，72年来，S&amp;P指数有19次在上半年上涨至少超过10%。在强劲的1H之后，8月份的回报率中值通常会下降-51个基点，然后反弹走高。</blockquote> <img src=\"https://static.tigerbbs.com/f41d55d3d45aecb40b0f24e53de17363\" tg-width=\"694\" tg-height=\"499\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 2. Largest outflows of the year- Investors allocate capital into the market in July and we have seen these record inflows. This is the biggest dynamic in the equity market this year period. Inflows continue at a record pace, annualizing at $1.2 trillion inflows for 2021. 401k inflows predominately flowed in S&amp;P and NDX rather than ROW.<blockquote>2.年度最大流出量-投资者在7月份向市场分配资金，我们已经看到了这些创纪录的资金流入。这是今年股市最大的动态。资金流入继续以创纪录的速度增长，2021年年流入量为1.2万亿美元。401k资金主要流入S&amp;P和NDX，而不是ROW。</blockquote> <img src=\"https://static.tigerbbs.com/9d67c2e0a1590d44ff3be03c2c86c88e\" tg-width=\"645\" tg-height=\"368\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/a58d02645303f22b7e53b58698e11f56\" tg-width=\"508\" tg-height=\"338\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 3. Reversal of flows predicted for August- Equity inflows are not common in August. Over the last 30 years,August typically sees the largest outflows of the year. -15bps of AUM typically leaves stock market funds in August, on ~22 Trillion, we model -$33B worth of equities for sale.<blockquote>3.8月份预测流量的逆转——8月份股权流入并不常见。在过去的30年里，八月通常是一年中最大的资金流出.-15个基点的资产管理规模通常会在8月份离开股市基金，我们模拟价值约22万亿美元的股票待售。</blockquote> <img src=\"https://static.tigerbbs.com/3308ac184f4fde82ba6c27fbcfbdd86f\" tg-width=\"579\" tg-height=\"340\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/005f51048f49a72597db950884245e8c\" tg-width=\"563\" tg-height=\"351\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 4. Outflows cont.To be clear, -$33B is not a significant $ figure when adjusted for market cap, however more important is that it’s not an inflow. The index level has remained at ATHs given inflows bid up the largest and biggest market cap index weights. On Monday we saw a large MOC imbalance for sale, this was unusual.<blockquote>4.流出续。需要明确的是，-330亿美元在调整市值后并不是一个重要的数字，但更重要的是它不是流入。鉴于资金流入抬高了最大和最大市值指数权重，该指数水平仍保持在ATHs。周一，我们看到一个巨大的MOC失衡出售，这是不寻常的。</blockquote> <img src=\"https://static.tigerbbs.com/d98939cb6e06e80bc643fdca6801fb0a\" tg-width=\"268\" tg-height=\"474\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 5. Passive flows drive largest marketcaps- Passive ETFs logged the best full year of inflows on record, in just the first half of the year. (+500b). I watch the tape every day register large MOC imbalances to buy at 3:50pm EST,but what if this dynamic fades.Remember $1 inflow into SPY flows $.23 cents into top 5 companies and $1 inflow into QQQ flows $.41 cents into top 5. If inflows flip to outflows you will no longer see broad index dynamic.Then investors need to decide which sector becomes the funding source for outflows.<blockquote>5.被动流动推动最大市值-仅在今年上半年，被动型ETF就创下了有记录以来最好的全年资金流入。(+500b)。我每天都看录像带记录大量的MOC失衡在美国东部时间下午3:50购买，但是如果这种动力消失了呢？请记住，流入SPDR标普500指数ETF的1美元将流入前5名公司0.23美分，流入QQQ的1美元将流入前5名公司0.41美分。如果流入转为流出，您将不再看到广泛的指数动态。那么投资者需要决定哪个板块成为流出的资金来源。</blockquote> Just how important has this been for the S&amp;P 500? Important!<blockquote>这对标普500有多重要？重要的！</blockquote> <ul> <li>Global Equity: 1-year: +$600B passive (IN) vs. $0.0B active (OUT) = &gt;$600B.</li> <li>Global Equity: 5-year: +$2.30T passive (IN) vs. -$1.90T active (OUT) = &gt;$4.2T</li> <li>Global Equity: 10-year: +$4T passive (IN) vs. -$3.0T active (OUT) = &gt;$7.0T</li> <li>Current Global Equity Active AUM of $10.099T exceeds &gt; Current Global Equity Passive AUM $7.225 T.</li> </ul> <img src=\"https://static.tigerbbs.com/72aadadcd243a659f1e3cc9fc8f75c1b\" tg-width=\"666\" tg-height=\"375\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/5419e040f7d023061743d473ffef59d1\" tg-width=\"666\" tg-height=\"375\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/4fff3382eec0b783b12411fb653c6718\" tg-width=\"663\" tg-height=\"377\" referrerpolicy=\"no-referrer\"><blockquote><ul><li>全球股票：1年期：+600B美元被动（入）与0.0 B美元主动（出）=&gt;600B美元。</li><li>全球股票：5年期：+$2.30 T被动（入）vs.-$1.90 T主动（出）=&gt;$4.2 T</li><li>全球股票：10年期：+$4T被动（入）vs.-$3.0 T主动（出）=&gt;$7.0 T</li><li>当前全球股票主动资产管理规模为10.099吨，超过当前全球股票被动资产管理规模7.225吨。</li></ul></blockquote> Side note: ETFs represented 36% of the notional executed volumes, last levels since in March/April 2020. (YTD average) = 24%. Did you see the massive volumes in SQQQ Monday (3x short QQQ)?<blockquote>旁注：ETF占名义执行量的36%，为2020年3月/4月以来的最后水平。（年初至今平均值）=24%。你看到SQQQ周一的巨量（3倍空头QQQ）了吗？</blockquote> 6. Single Stock Calls- This is set up is very similar to July and August 2020 blow-off top as a result of call option trading. Reminder, S&amp;P sold off -392bps in September 2020 after call option volumes started to fade.<blockquote>六、单一股票评级-这是非常类似于2020年7月和8月看涨期权期权交易的结果吹顶。提醒一下，在看涨期权期权交易量开始消退后，标准普尔在2020年9月抛售了-392个基点。</blockquote> <ul> <li>Option notional has averaged an all-time record of +$550B per day in July. The top 3 traded stocks (AAPL, AMZN, and TSLA) make up $300B of daily volumes. Breadth in both options and stocks is low.</li> <li>\"Of 4000 Tradeable Single Stock options, the top 3 names make up 56% of the daily avg notional traded. Adding in the next 7, that ratio jumps to 72%.\"</li> <li>\"Said another way the top 10 underliers trade 3x more notional on an average day than the bottom 3990”</li> <li>This is an important dynamic to monitor.</li> </ul> <img src=\"https://static.tigerbbs.com/be539bca2d8b556e65d32bbe28f2abb4\" tg-width=\"676\" tg-height=\"441\" referrerpolicy=\"no-referrer\"><blockquote><ul><li>7月份，Option notional的平均交易量创下了每天+5500亿美元的历史纪录。交易量最大的3只股票（AAPL、AMZN和TSLA）的日交易量为300B美元。期权和股票的广度都很低。</li><li>“在4000份可交易的单一股票期权中，前3名占每日平均名义交易量的56%。加上接下来的7份，这一比例跃升至72%。”</li><li>“换句话说，前10名底层股票平均每天的名义交易量是底部3990点的3倍”</li><li>这是一个需要监控的重要动态。</li></ul></blockquote> 7. Call Options cont.- Retail has pivoted from trading weekly call options on GME and AMC - only $6B combined notional per day to the stay-at-home playbook. The names with the highest daily option trading are also the largest index weights. In addition to ETF flows, the retail call option buying frenzy also takes the street short weekly gamma on single names. 75% of single stock options traded today have an expiry of two weeks or less.Said another way, given GS YOLO risk sentiment basket has rolled over, does AAPL need to catch down next (or at least not see YOLO flows).<blockquote>7.看涨期权期权续。-零售业已从每周在GME和AMC上交易看涨期权期权（每天名义价值仅为6B美元）转向居家策略。每日期权交易量最高的公司也是指数权重最大的公司。除了ETF流量之外，散户看涨期权期权购买狂潮也导致了单一股票的街头空头每周伽马值。今天交易的75%的单一股票期权的到期时间为两周或更短。换句话说，鉴于GS YOLO风险情绪篮子已经滚动，AAPL下一步是否需要赶上（或者至少看不到YOLO流量）。</blockquote> $181bln/day AMZN<blockquote>1810亿美元/天AMZN</blockquote> $ 82bln/day TSLA<blockquote>820亿美元/天TSLA</blockquote> $ 36bln/day AAPL<blockquote>360亿美元/天AAPL</blockquote> --------------<blockquote>--------------</blockquote> TOTAL TSLA/AMZN/AAPL: $299bln/day&nbsp; ------- What happens if call volume in mega cap tech declines?<blockquote>TSLA/AMZN/AAPL总额：2990亿美元/天——如果大型科技股的看涨期权交易量下降会发生什么？</blockquote> <ul> <li>$ 26bln/day NVDA</li> <li>$ 14bln/day GOOGL</li> <li>$ 11bln/day FB</li> <li>$ 10bln/day MSFT</li> <li>$&nbsp; 8bln/day SHOP</li> <li>$&nbsp; 8bln/day GOOG</li> <li>$&nbsp; 8bln/day NFLX</li> <li>$&nbsp; 7bln/day BABA</li> </ul> --------------<blockquote><ul><li>260亿美元/天NVDA</li><li>140亿美元/天GOOGL</li><li>110亿美元/天FB</li><li>100亿美元/天MSFT</li><li>80亿美元/天的商店</li><li>80亿美元/天GOOG</li><li>80亿美元/天NFLX</li><li>70亿美元/天阿里巴巴</li></ul>--------------</blockquote> TOTAL GOOG/GOOGL/MSFT/FB/NFLX/NVDA/SHOP/BABA: $90bln/day<blockquote>GOOG/GOOGL/MSFT/FB/NFLX/NVDA/SHOP/BABA总计：900亿美元/天</blockquote> <ul> <li>$&nbsp; 4bln/day AMC</li> <li>$&nbsp; 2bln/day GME</li> </ul> --------------<blockquote><ul><li>40亿美元/天AMC</li><li>20亿美元/天GME</li></ul>--------------</blockquote> TOTAL AMC/GME: $6bln/day&nbsp; ------- No Mo’ Yolo? See chart below.<blockquote>AMC/GME总额：60亿美元/天——没有莫约洛？见下图。</blockquote> All other underlyings: $141bln/day<blockquote>所有其他基础资产：1410亿美元/天</blockquote> Total single stock option market:<blockquote>单一股票期权市场总额：</blockquote> <ul> <li>$299bln/day TSLA/AMZN/AAPL</li> <li>$ 90bln/day GOOG/GOOGL/MSFT/FB/NFLX/NVDA/SHOP/BABA</li> <li>$&nbsp; 6bln/day AMC/GME</li> <li>$141bln/day All other underlyings</li> </ul> --------------------<blockquote><ul><li>2990亿美元/天TSLA/AMZN/AAPL</li><li>900亿美元/天GOOG/GOOGL/MSFT/FB/NFLX/NVDA/SHOP/BABA</li><li>60亿美元/天AMC/GME</li><li>1410亿美元/天所有其他基础</li></ul>--------------------</blockquote> $537bln/day Total<blockquote>5370亿美元/天总计</blockquote> <img src=\"https://static.tigerbbs.com/1f5678ad5b66dd918c2cbb51263c9df0\" tg-width=\"650\" tg-height=\"450\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 8. Option Gamma Unwinds- Option Expiry just rolled off -85% of the market long gamma. The market now has the ability to move more freely and trade less long gamma. Everyday last week the market would rally into the bell as dealers re-hedge their gamma (buying the dips). I get worried about summer end-of-day liquidity without gamma hedging and passive demand. I think there will be also a “institutional” demand to buy hedges into Jackson Hole fulling removing the long gamma taking the street short to hedge downside. We have seen more puts and put spreads on the desk this week than any week of 2021.<blockquote>8.期权Gamma平仓-期权到期刚刚下跌-85%的市场多头伽马。市场现在有能力更自由地波动，交易更少的多头伽马。上周的每一天，随着交易商重新对冲他们的伽马（逢低买入），市场都会在收盘时反弹。我担心没有伽马对冲和被动需求的夏季日终流动性。我认为还将有“机构”需求购买杰克逊霍尔对冲基金，消除多头伽马，让华尔街做空以对冲下行。本周我们看到的看跌期权和看跌价差比2021年任何一周都多。</blockquote> <ul> <li>Wednesday (7/14) SPX gamma = +$4,625B</li> <li>Thursday (7/15) SPX gamma = +$3,620B</li> <li>Friday (7/16) SPX gamma = +$3,136B</li> <li>Monday (7/19) SPX gamma = +$2,698B</li> <li>Tuesday (7/20) SPX Gamma = +$713B.</li> </ul> the Long S&amp;P 500 gamma has been reduced by -85% in the past 5 days taking dealers less long gamma.This dynamic changes market behavior and we are seeing little demand to systematically overwrite from here even despite the move higher in vols. This is new.<blockquote><ul><li>周三(7/14)SPX gamma=+$4,625 B</li><li>周四(7/15)SPX gamma=+$3,620 B</li><li>周五(7/16)SPX gamma=+$3,136 B</li><li>周一(7/19)SPX gamma=+$2,698 B</li><li>周二(7/20)SPX Gamma=+$713B。</li></ul>在过去的5天里，多头标普500伽马减少了-85%，交易商的多头伽马减少了。这种动态改变了市场行为，尽管成交量走高，但我们几乎没有看到系统覆盖的需求。这是新的。</blockquote> <img src=\"https://static.tigerbbs.com/b78215d53696f99f4c746f296ae2d225\" tg-width=\"797\" tg-height=\"598\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 9. Systematic- Non-economic is already near the max exposure and have little scope to add further from here. No threshold levels have triggered so far, but it is important to note the lack of ability to add from here, which asymmetrically skews the downside.<blockquote>9.系统性-非经济风险已经接近最大敞口，并且几乎没有进一步增加的空间。到目前为止，还没有触发阈值水平，但重要的是要注意缺乏从这里添加的能力，这不对称地扭曲了下行方向。</blockquote> <ul> <li>CTA- 90% percentile on 1-year rank, 84% percentile on 3-yr rank.</li> <li>GS models-$9B of equities for sale over the next week. CTA’s are sellers in an up tape, down tape, down big tape. That’s not common. Check out big asymmetry to the downside over the next 1 month.</li> <li>GS short term CTA ES1 Flip Level= $4,257.90. We tripped this circuit breaker yesterday, but are higher this am. I expect GS sell expectations to increase.</li> </ul> <img src=\"https://static.tigerbbs.com/3efe5f0b54f671b5c1b366ff5514cf5c\" tg-width=\"751\" tg-height=\"323\" referrerpolicy=\"no-referrer\"><img src=\"https://static.tigerbbs.com/232a48ec7525cb179f6cd8bc285b7e55\" tg-width=\"499\" tg-height=\"300\" referrerpolicy=\"no-referrer\"><blockquote><ul><li>CTA-1年排名90%百分位数，3年排名84%百分位数。</li><li>GS型号-下周将出售90亿美元的股票。CTA是处于上涨带、下跌带、下跌大带的卖家。这并不常见。检查未来1个月的下行大不对称。</li><li>GS短期CTA ES1翻转电平=$4,257.90.我们昨天跳闸了这个断路器，但是今天上午更高。我预计GS卖出预期会增加。</li></ul></blockquote> b) Vol Control - 86% percentile on 1-year rank, 75% percentile on 3-yr rank. FYI. SPX Put/Call Ratio hit a fresh 1 year high yesterday.<blockquote>b)体积控制-1年等级为86%百分位数，3年等级为75%百分位数。仅供参考。SPX看跌期权/看涨期权比率昨日创下一年新高。</blockquote> <img src=\"https://static.tigerbbs.com/a5553785fd8a0a66e717f5579ba6ee91\" tg-width=\"500\" tg-height=\"300\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> c) Risk Parity - 100% percentile on 1-year rank, 53% percentile on 3-yr rank.<blockquote>c)风险平价-1年等级为100%百分位数，3年等级为53%百分位数。</blockquote> <img src=\"https://static.tigerbbs.com/9be4d94aa1cd38dad335c1424d3be626\" tg-width=\"500\" tg-height=\"300\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> d) Total Systematic - 92% percentile on 1-year rank, 80% percentile on 3-yr rank. This is important. This non-emotional demand is at the max and will be sellers lower.<blockquote>d)总系统性–1年等级为92%百分位数，3年等级为80%百分位数。这很重要。这种非情绪化的需求是最大的，卖家会更低。</blockquote> <img src=\"https://static.tigerbbs.com/4068fa4e9a8c6c06f77627c9ee6e07b8\" tg-width=\"500\" tg-height=\"300\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 10. Liquidity- The unofficial Rubner out of office outlook (OOO) reply meter. My note last week has week had the largest out of office kickbacks to the tune of “see you in a few weeks” or “gone fishing”. The upcoming calendar into Jackson Hole is important.<blockquote>10.流动资金-非官方的Rubner外出展望(OOO)回复表。我上周的笔记是“几周后见”或“去钓鱼”的办公室回扣最多的一周。即将到来的杰克逊霍尔日历很重要。</blockquote> <ol> <li>next few weeks, extended vacation schedule first time in 12 months, etc, moved forward because Jackson hole.</li> <li>Jackson Hole, August 26 (Thursday) - August 28 (Saturday) – Friday is the likely the key calendar, but potentially Saturday will be important. This moves hedges to the following week.</li> <li>Labor Day, September 6 (Monday exchange holiday) - late this year</li> <li>approximate First day of Children’s school, September 7 (Tuesday)</li> <li>Liquidity = August Summer – ZZZZ. Top book liquidity declined SUBSTANTIALLY into the sell off yesterday.</li> </ol> *** despite being ranked 10 in the checklist. This is really chart #1. Liquidity dried up substantially yesterday on the screens. This chart peaked at $36M last Monday to $10.810M yesterday. This is a drop of $25M $ or ~70% in on screws liquidity in 1 week.<blockquote><ol><li>接下来的几周，12个月来首次延长假期，等等，因为杰克逊霍尔提前了。</li><li>杰克逊霍尔，8月26日（星期四）-8月28日（星期六）-周五可能是关键的日历，但周六也可能很重要。这将对冲移至下周。</li><li>劳动节，9月6日（周一交换假期）-今年晚些时候</li><li>大约孩子开学第一天，9月7日（星期二）</li><li>流动性=八月夏季-ZZZZ。在昨天的抛售中，账面流动性大幅下降。</li></ol>***尽管在清单中排名第10。这实际上是图表#1。昨天屏幕上的流动性大幅枯竭。该图表上周一达到3600万美元的峰值，昨天达到1081万美元。这意味着螺丝流动性在一周内下降了2500万美元或约70%。</blockquote> <img src=\"https://static.tigerbbs.com/60db9087f28d7496be38eafbc0fa755e\" tg-width=\"650\" tg-height=\"450\" referrerpolicy=\"no-referrer\"><blockquote></blockquote> 11. Buybacks: Buybacks are here, but so is equity issuance, which neutralizes the buyback impulse. As corporates meet corporates. From Sales and trading colleague, John Flood in his most recent trading note.<blockquote>11.回购：回购来了，但股权发行也来了，中和了回购冲动。当公司遇到公司时。来自销售和交易同事John Flood在他最近的交易笔记中。</blockquote> “It has been a paper party and this paper is getting harder to place. Last week we priced 11 registered deals in the U.S. ($3b notional) and this week already working on another 18 ($10b). This is especially noteworthy while in the depths of July.“<blockquote>“这是一场纸面派对，而且这张纸面越来越难放置。上周我们在美国对11笔注册交易进行了定价（名义价值30亿美元），本周我们已经在处理另外18笔交易（名义价值100亿美元）。这在七月深处尤其值得注意。”</blockquote> <ul> <li>Last week there was $6.2 billion in equity issuance, compared with the July weekly average of $3.4 billion since 2000.</li> <li>Last week there were 27 equity deals brought to market, compared with the July average of 15 deals per week since 2000.</li> </ul> <img src=\"https://static.tigerbbs.com/b680be938f506ba528c382fdb7d805ba\" tg-width=\"897\" tg-height=\"606\" referrerpolicy=\"no-referrer\"><blockquote><ul><li>上周股票发行量为62亿美元，而2000年以来7月份每周平均发行量为34亿美元。</li><li>上周有27笔股票交易上市，而自2000年以来7月份平均每周15笔交易。</li></ul></blockquote> Bottom Line:Keep Tactical Flow of Funds Checklist on your radar for August. The technical market structure dynamics changes substantially during August. I think there will be a dip (-5%) and it is meant to be bought heading late into Jackson Hole.The consensus is calling for a larger equity market correction, I do not see it given the amount of capital in the system. I change my tone if we trigger key levels to the downside as sellers are lower. If August outflows actually happen, I think tech underperforms cyclical value reopen given high concentration and largest passive impact.Once we see the first outflow in August, this will be the macro trigger for a tactical short. Stay tuned and keep an eye on liquidity.<blockquote>底线：在八月份把战术资金流清单放在你的雷达上。8月份技术市场结构动态发生较大变化.我认为会有下跌（-5%），应该在杰克逊霍尔后期买入。人们的共识是呼吁股市进行更大规模的调整，考虑到系统中的资本数量，我认为这是不可能的。如果我们在卖家走低时触发关键水平下跌，我会改变我的语气。如果8月份的资金外流确实发生，我认为鉴于高度集中和最大的被动影响，科技股的表现不如周期性价值重新开放。一旦我们在8月份看到第一次流出，这将是战术性空头的宏观触发器.敬请关注，紧盯流动性。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/entering-worst-seasonal-period-year-and-10-other-reasons-why-goldman-braces-august\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{".IXIC":"NASDAQ Composite",".SPX":"S&P 500 Index","SPY":"标普500ETF",".DJI":"道琼斯"},"source_url":"https://www.zerohedge.com/markets/entering-worst-seasonal-period-year-and-10-other-reasons-why-goldman-braces-august","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1192458370","content_text":"In a stark reversal to its bullish sentiment at the start of the month, when the bank first noted - correctly - that the S&P was entering itsbest 2-week seasonal period of the yearwhich it did between July 1 and 15 when it posted a series of new all time highs (before dumping on the 16th and the 19th)...\n\n... followed by a lengthy rationalization why \"the shorts will have to cover\", Goldman has been turning surprisingly bearish in recent days, and two days after Goldman flow trader John Flood urged Goldman clients \"not to buy this dip\" on Monday (spoiler alert: they did) his trading desk colleague Scott Rubner has published a report previewing why he anticipates a correction in the coming days and continuing through the Jackson Hole symposium at the end of August.\nHis note, from which we excerpt below, contains the key arguments behind Goldman's August \"correction\" thesis, including tactical flow of funds, an acceleration of sellers, and feedback from the GS equity trading floor.\nSo without further ado, here is Rubner, who lays out his \"11 point checklist for an August correction\", starting by noting that \"the #1 question that has hit my inbox/IB in the past 48 hours. What happens to the equity market when there is an outflow and buy demand slows?\" As we read below, the most appropriate answer is \"nothing good.\"\n\n11 point Checklist - Consensus client feedback for a quick equity risk reduction into potentially lower buy demand into Jackson hole. The consensus feedback seems to be calling for a -5% correction, which really gets to -4%. This is a recap of the talking points about to hit your inbox this week. I think this morning’s rally gets faded as buy tickets are completed early in the day.\n“Selling rallies” is the new dynamic vs. buying dips.\n\n1. Weak Seasonals- Since 1928, we just exited the best two-week period of the year. Friday’s option expiry ended the best seasonal period of the year.August seasonals are not market friendly and trend lower all of August, for the 4th worst two-week seasonal period of the year. Today you are here and Jackson hole is the low point of this chart. Since 1950, there have been 19 times in 72 years that the S&P is up at least >10% through the first half of the year. The median return for August specifically, following a strong 1H is typically down -51bps, before rallying higher.\n\n2. Largest outflows of the year- Investors allocate capital into the market in July and we have seen these record inflows. This is the biggest dynamic in the equity market this year period. Inflows continue at a record pace, annualizing at $1.2 trillion inflows for 2021. 401k inflows predominately flowed in S&P and NDX rather than ROW.\n\n3. Reversal of flows predicted for August- Equity inflows are not common in August. Over the last 30 years,August typically sees the largest outflows of the year. -15bps of AUM typically leaves stock market funds in August, on ~22 Trillion, we model -$33B worth of equities for sale.\n\n4. Outflows cont.To be clear, -$33B is not a significant $ figure when adjusted for market cap, however more important is that it’s not an inflow. The index level has remained at ATHs given inflows bid up the largest and biggest market cap index weights. On Monday we saw a large MOC imbalance for sale, this was unusual.\n\n5. Passive flows drive largest marketcaps- Passive ETFs logged the best full year of inflows on record, in just the first half of the year. (+500b). I watch the tape every day register large MOC imbalances to buy at 3:50pm EST,but what if this dynamic fades.Remember $1 inflow into SPY flows $.23 cents into top 5 companies and $1 inflow into QQQ flows $.41 cents into top 5. If inflows flip to outflows you will no longer see broad index dynamic.Then investors need to decide which sector becomes the funding source for outflows.\nJust how important has this been for the S&P 500? Important!\n\nGlobal Equity: 1-year: +$600B passive (IN) vs. $0.0B active (OUT) = >$600B.\nGlobal Equity: 5-year: +$2.30T passive (IN) vs. -$1.90T active (OUT) = >$4.2T\nGlobal Equity: 10-year: +$4T passive (IN) vs. -$3.0T active (OUT) = >$7.0T\nCurrent Global Equity Active AUM of $10.099T exceeds > Current Global Equity Passive AUM $7.225 T.\n\n\nSide note: ETFs represented 36% of the notional executed volumes, last levels since in March/April 2020. (YTD average) = 24%. Did you see the massive volumes in SQQQ Monday (3x short QQQ)?\n6. Single Stock Calls- This is set up is very similar to July and August 2020 blow-off top as a result of call option trading. Reminder, S&P sold off -392bps in September 2020 after call option volumes started to fade.\n\nOption notional has averaged an all-time record of +$550B per day in July. The top 3 traded stocks (AAPL, AMZN, and TSLA) make up $300B of daily volumes. Breadth in both options and stocks is low.\n\"Of 4000 Tradeable Single Stock options, the top 3 names make up 56% of the daily avg notional traded. Adding in the next 7, that ratio jumps to 72%.\"\n\"Said another way the top 10 underliers trade 3x more notional on an average day than the bottom 3990”\nThis is an important dynamic to monitor.\n\n\n7. Call Options cont.- Retail has pivoted from trading weekly call options on GME and AMC - only $6B combined notional per day to the stay-at-home playbook. The names with the highest daily option trading are also the largest index weights. In addition to ETF flows, the retail call option buying frenzy also takes the street short weekly gamma on single names. 75% of single stock options traded today have an expiry of two weeks or less.Said another way, given GS YOLO risk sentiment basket has rolled over, does AAPL need to catch down next (or at least not see YOLO flows).\n$181bln/day AMZN\n$ 82bln/day TSLA\n$ 36bln/day AAPL\n--------------\nTOTAL TSLA/AMZN/AAPL: $299bln/day  ------- What happens if call volume in mega cap tech declines?\n\n$ 26bln/day NVDA\n$ 14bln/day GOOGL\n$ 11bln/day FB\n$ 10bln/day MSFT\n$  8bln/day SHOP\n$  8bln/day GOOG\n$  8bln/day NFLX\n$  7bln/day BABA\n\n--------------\nTOTAL GOOG/GOOGL/MSFT/FB/NFLX/NVDA/SHOP/BABA: $90bln/day\n\n$  4bln/day AMC\n$  2bln/day GME\n\n--------------\nTOTAL AMC/GME: $6bln/day  ------- No Mo’ Yolo? See chart below.\nAll other underlyings: $141bln/day\nTotal single stock option market:\n\n$299bln/day TSLA/AMZN/AAPL\n$ 90bln/day GOOG/GOOGL/MSFT/FB/NFLX/NVDA/SHOP/BABA\n$  6bln/day AMC/GME\n$141bln/day All other underlyings\n\n--------------------\n$537bln/day Total\n\n8. Option Gamma Unwinds- Option Expiry just rolled off -85% of the market long gamma. The market now has the ability to move more freely and trade less long gamma. Everyday last week the market would rally into the bell as dealers re-hedge their gamma (buying the dips). I get worried about summer end-of-day liquidity without gamma hedging and passive demand. I think there will be also a “institutional” demand to buy hedges into Jackson Hole fulling removing the long gamma taking the street short to hedge downside. We have seen more puts and put spreads on the desk this week than any week of 2021.\n\nWednesday (7/14) SPX gamma = +$4,625B\nThursday (7/15) SPX gamma = +$3,620B\nFriday (7/16) SPX gamma = +$3,136B\nMonday (7/19) SPX gamma = +$2,698B\nTuesday (7/20) SPX Gamma = +$713B.\n\nthe Long S&P 500 gamma has been reduced by -85% in the past 5 days taking dealers less long gamma.This dynamic changes market behavior and we are seeing little demand to systematically overwrite from here even despite the move higher in vols. This is new.\n\n9. Systematic- Non-economic is already near the max exposure and have little scope to add further from here. No threshold levels have triggered so far, but it is important to note the lack of ability to add from here, which asymmetrically skews the downside.\n\nCTA- 90% percentile on 1-year rank, 84% percentile on 3-yr rank.\nGS models-$9B of equities for sale over the next week. CTA’s are sellers in an up tape, down tape, down big tape. That’s not common. Check out big asymmetry to the downside over the next 1 month.\nGS short term CTA ES1 Flip Level= $4,257.90. We tripped this circuit breaker yesterday, but are higher this am. I expect GS sell expectations to increase.\n\n\nb) Vol Control - 86% percentile on 1-year rank, 75% percentile on 3-yr rank. FYI. SPX Put/Call Ratio hit a fresh 1 year high yesterday.\n\nc) Risk Parity - 100% percentile on 1-year rank, 53% percentile on 3-yr rank.\n\nd) Total Systematic - 92% percentile on 1-year rank, 80% percentile on 3-yr rank. This is important. This non-emotional demand is at the max and will be sellers lower.\n\n10. Liquidity- The unofficial Rubner out of office outlook (OOO) reply meter. My note last week has week had the largest out of office kickbacks to the tune of “see you in a few weeks” or “gone fishing”. The upcoming calendar into Jackson Hole is important.\n\nnext few weeks, extended vacation schedule first time in 12 months, etc, moved forward because Jackson hole.\nJackson Hole, August 26 (Thursday) - August 28 (Saturday) – Friday is the likely the key calendar, but potentially Saturday will be important. This moves hedges to the following week.\nLabor Day, September 6 (Monday exchange holiday) - late this year\napproximate First day of Children’s school, September 7 (Tuesday)\nLiquidity = August Summer – ZZZZ. Top book liquidity declined SUBSTANTIALLY into the sell off yesterday.\n\n*** despite being ranked 10 in the checklist. This is really chart #1. Liquidity dried up substantially yesterday on the screens. This chart peaked at $36M last Monday to $10.810M yesterday. This is a drop of $25M $ or ~70% in on screws liquidity in 1 week.\n\n11. Buybacks: Buybacks are here, but so is equity issuance, which neutralizes the buyback impulse. As corporates meet corporates. From Sales and trading colleague, John Flood in his most recent trading note.\n“It has been a paper party and this paper is getting harder to place. Last week we priced 11 registered deals in the U.S. ($3b notional) and this week already working on another 18 ($10b). This is especially noteworthy while in the depths of July.“\n\nLast week there was $6.2 billion in equity issuance, compared with the July weekly average of $3.4 billion since 2000.\nLast week there were 27 equity deals brought to market, compared with the July average of 15 deals per week since 2000.\n\n\nBottom Line:Keep Tactical Flow of Funds Checklist on your radar for August. The technical market structure dynamics changes substantially during August. I think there will be a dip (-5%) and it is meant to be bought heading late into Jackson Hole.The consensus is calling for a larger equity market correction, I do not see it given the amount of capital in the system. I change my tone if we trigger key levels to the downside as sellers are lower. If August outflows actually happen, I think tech underperforms cyclical value reopen given high concentration and largest passive impact.Once we see the first outflow in August, this will be the macro trigger for a tactical short. Stay tuned and keep an eye on liquidity.","news_type":1,"symbols_score_info":{".SPX":0.9,".IXIC":0.9,"SPY":0.9,".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":2589,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":3,"xxTargetLangEnum":"ORIG"},"commentList":[{"id":5293551,"commentId":"5293551","gmtCreate":1626952803944,"gmtModify":1626952803944,"authorId":3575141057639271,"author":{"id":3575141057639271,"idStr":"3575141057639271","authorId":3575141057639271,"name":"Daveb","avatar":"https://static.tigerbbs.com/61df162e1597f1b5a6a6bfb13d7d92f5","vip":1,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":172882810,"objectIdStr":"172882810","type":1,"supId":0,"supIdStr":"0","prevId":0,"prevIdStr":"0","content":"YEp ......as usual","text":"YEp ......as usual","html":"YEp ......as usual","likeSize":0,"commentSize":0,"subComments":[],"verified":10,"allocateAmount":0,"commentType":"valid","coins":0,"score":0,"disclaimerType":0}],"isCommentEnd":false,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/172882810"}