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2021-07-24

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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 8 月份调整的其他 10 个原因</blockquote>

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{"i18n":{"language":"zh_CN"},"detailType":1,"isChannel":false,"data":{"magic":2,"id":174519436,"tweetId":"174519436","gmtCreate":1627109938425,"gmtModify":1631891284888,"author":{"id":3582793651916821,"idStr":"3582793651916821","authorId":3582793651916821,"authorIdStr":"3582793651916821","name":"FrazerEr","avatar":"https://static.tigerbbs.com/9d5dff0eee122679c6bcd7532e992980","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":11,"crmLevelSwitch":0,"individualDisplayBadges":[],"wearingBadges":[],"fanSize":1,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"title":"","extraTitle":"","html":"<html><head></head><body>Good read</body></html>","htmlText":"<html><head></head><body>Good read</body></html>","text":"Good read","highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"favoriteSize":0,"link":"https://laohu8.com/post/174519436","repostId":1192458370,"repostType":4,"repost":{"id":"1192458370","kind":"news","pubTimestamp":1626938362,"share":"https://www.laohunote.com/m/news/1192458370?lang=zh_CN&edition=full","pubTime":"2021-07-22 15:19","market":"us","language":"en","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 8 月份调整的其他 10 个原因</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1192458370","media":"zerohedge","summary":"In a stark reversal to its bullish sentiment at the start of the month, when the bank first noted - ","content":"In 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>与本月初的看涨情绪形成鲜明对比，当时该行首次正确地指出，标准普尔指数正在进入今年最好的两周季节性时期，7月1日至15日期间创下了一系列历史新高（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“空头将不得不回补”的原因进行了冗长的合理化解释之后，高盛最近几天出人意料地变得悲观，两天前，高盛流量交易员约翰·弗洛德周一敦促高盛客户“不要买入这个低点”（剧透警告：他们确实买入了）他的交易台同事斯科特·鲁布纳 (Scott Rubner) 发布了一份报告，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>他的笔记（我们在下面摘录）包含了高盛 8 月份“修正”论点背后的关键论点，包括资金的战术流动、卖家的加速以及来自 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>事不宜迟，这里是鲁布纳，他展示了他的“八月更正的 11 点清单”首先注意到“在过去的48小时里，我的收件箱/IB收到的头号问题。当资金流出且购买需求放缓时，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。一致的反馈似乎要求进行-5%的修正，实际上达到了-4%。这是本周即将到达你收件箱的谈话要点的回顾。我认为，随着当天早些时候购票的完成，今天上午的集会逐渐消退。“卖出反弹 ”是与买入下跌的新动态。1. 弱季节性- 自 1928 年以来，我们刚刚度过了一年中最好的两周时期。周五的期权到期结束了一年中最好的季节性时期。8 月份的季节性季节对市场不利，整个 8 月份都呈下降趋势，这是今年第四个最糟糕的两周季节性季节.今天你在这里，杰克逊霍尔是这张图表的最低点。自 1950 年以来，72 年来，标准普尔指数上半年涨幅至少超过 10% 的情况有 19 次。具体来说，8 月份的中值回报率在强劲的 1 小时后通常会下降 -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. 本年度最大资金流出- 投资者在 7 月份向市场配置资金，我们看到了这些创纪录的资金流入。这是今年以来股市最大的动态。资金流入继续以创纪录的速度进行，2021年的年流入将达到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 月份流量预测逆转- 8月份股票流入并不常见。在过去30年里，八月份通常是一年中最大的资金外流. -15bps AUM 通常会离开股票市场基金 在 8 月份，在约 22 万亿美元的情况下，我们建模了价值 -33B 美元的待售股票。</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. 外流继续。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资金流入。鉴于资金流入推高了最大和最大的市值指数权重，该指数水平仍保持在 ATHs。周一，我们看到一个大的MOC不平衡出售，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. 被动流量推动最大市值- 被动 ETF 仅在今年上半年就创下了有记录以来最好的全年流入量。(+500b)。我每天都看磁带，记录大的MOC不平衡在美国东部时间下午3:50买入，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 美元相当于流入前 5 家公司的 0.23 美元，流入 QQQ 的 1 美元相当于流入前 5 家公司的 0.41 美元。如果流入变为流出，您将不再看到广泛的指数动态。然后，投资者需要决定哪个行业成为资金外流的资金来源。</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>全球权益：1年期：+$600B被动（入）vs$0.0B主动（出）=&gt;$600B。</li><li>全球股票：5 年期：+$2.30T 被动 (IN) vs. -$1.90T 主动 (OUT) = &gt;$4.2T</li><li>全球股权：10 年期：+4T 美元被动 (IN) vs. -3.0T 美元主动 (OUT) = &gt;7.0T 美元</li><li>当前全球股票主动资产管理规模为 10.099 吨，超过 &gt; 当前全球股票被动资产管理规模为 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周一的巨量成交量了吗（3倍空头QQQ）？</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>6、单股评级- 由于看涨期权期权交易，这与 2020 年 7 月和 8 月的峰值非常相似。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 -392bps。</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>Option notional 7 月份的日均交易额创下历史新高，达到每天 550B 美元。交易量排名前 3 的股票（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 个可交易的单一股票期权中，排名前 3 的股票期权占每日平均名义交易量的 56%。加上接下来的 7 个，这一比例跃升至 72%。”</li><li>“换句话说，前 10 只基础股票的平均交易量是底部 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（每天名义交易总额仅为 60 亿美元）转向居家办公。每日期权交易量最高的名称也是最大的指数权重。除了 ETF 流动之外，零售看涨期权期权购买狂潮还占据了单个名称的每周 gamma。今天交易的单一股票期权中有 75% 的到期时间为两周或更短。换句话说，鉴于 GS YOLO 风险情绪篮子已经翻转，AAPL 是否需要接下来追赶（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>每天80亿美元的商店</li><li>80亿美元/天谷歌</li><li>80亿美元/天NFLX</li><li>70亿美元/天爸爸</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 Mo' Yolo？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量：</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 谷歌/GOOGL/微软/脸书/NFLX/NVDA/商店/巴巴</li><li>60亿美元/天AMC/GME</li><li>1410 亿美元/天所有其他基础资产</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. 选项伽马展开- 期权到期刚刚滚出市场多头伽马的 -85%。市场现在有能力更自由地移动，交易更少的长伽马。上周，随着交易商重新对冲他们的伽马（逢低买入），市场每天都会反弹到收盘。我开始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 ”需求购买对冲杰克逊霍尔的套期保值，消除长期伽马做空以对冲下行空间。本周我们看到的看跌期权和看跌期权价差比 2021 年的任何一周都多。</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>星期三 (7/14) SPX gamma = +$4,625B</li><li>星期四 (7/15) SPX gamma = +$3,620B</li><li>星期五 (7/16) SPX gamma = +$3,136B</li><li>星期一 (7/19) SPX gamma = +$2,698B</li><li>星期二（7月20日）SPX伽马=+$713B。</li></ul>在过去的5天里，长标普500伽马减少了-85%，减少了经销商的长伽马。这种动态改变了市场行为，尽管交易量有所上升，但我们几乎没有看到从这里系统地重写的需求。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- 非经济型已经接近最大敞口，从这里开始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趋势。</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 年军衔为 90%，3 年军衔为 84%。</li><li>GS模型-下周将出售 90 亿美元的股票。CTA 的销售员是上带、下带、下带。这并不常见。在接下来的一个月里，看看巨大的不对称性。</li><li>GS 短期 CTA ES1 翻转水平=$4,257.90.我们昨天跳闸了这个断路器，但今天早上更高了。我预计 GS 的销售预期将会增加。</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86%百分位数，3年等级75%百分位数。仅供参考。SPX看跌期权/看涨期权比率昨天创下一年新高。</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，3 年等级为 53% 百分位。</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年排名的92%百分位数，3年排名的80%百分位数。这很重要。这种非情绪化的需求达到了最大值，会降低卖家的价格。</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 out of office outlook (OOO) 回复计数器。我上周的笔记显示，week 在 “几周后见 ”或 “去钓鱼 ”的曲调下获得了最大的回扣。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个月来第一次延长假期日程等，因为杰克逊霍尔而提前。</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，但周六可能会很重要。这将对冲移动到下周。</li><li>劳动节，9 月 6 日（星期一交换假期） - 今年晚些时候</li><li>大约是9月7日（星期二）儿童开学第一天</li><li>流动性=八月夏季–ZZZZ。在昨天的抛售中，顶级账簿流动性大幅下降。</li></ol>***尽管在清单中排名第10。这真的是图表#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，即约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，但股票发行也来了，中和了回购冲动。当公司遇到公司时。来自销售和交易同事约翰·弗拉德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>“这一直是一场纸上谈兵的聚会，而且这篇论文越来越难发表。上周，我们对美国的 11 笔注册交易进行了定价（名义上 30 亿美元），本周已经在处理另外 18 笔交易（名义上 100 亿美元）。这一点在 7 月下旬尤其值得注意”。</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 月份的平均周发行量为 34 亿美元。</li><li>上周有 27 笔股票交易推向市场，而自 2000 年以来，7 月份平均每周有 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：将八月份的战术资金流清单留在你的雷达上。8月份技术市场结构动态发生重大变化.我认为会有一个下跌（-5%），这意味着在进入杰克逊霍尔后期买入。共识是呼吁进行更大规模的股票市场调整，考虑到系统中的资本数量，我看不到这一点。如果我们触发关键水平下行，因为卖家较低，我会改变我的语气。如果 8 月份资金流出确实发生，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。一旦我们看到 8 月份的首次资金流出，这将是战术性做空的宏观触发因素.保持关注，密切关注流动性。</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 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 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>与本月初的看涨情绪形成鲜明对比，当时该行首次正确地指出，标准普尔指数正在进入今年最好的两周季节性时期，7月1日至15日期间创下了一系列历史新高（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“空头将不得不回补”的原因进行了冗长的合理化解释之后，高盛最近几天出人意料地变得悲观，两天前，高盛流量交易员约翰·弗洛德周一敦促高盛客户“不要买入这个低点”（剧透警告：他们确实买入了）他的交易台同事斯科特·鲁布纳 (Scott Rubner) 发布了一份报告，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>他的笔记（我们在下面摘录）包含了高盛 8 月份“修正”论点背后的关键论点，包括资金的战术流动、卖家的加速以及来自 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>事不宜迟，这里是鲁布纳，他展示了他的“八月更正的 11 点清单”首先注意到“在过去的48小时里，我的收件箱/IB收到的头号问题。当资金流出且购买需求放缓时，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。一致的反馈似乎要求进行-5%的修正，实际上达到了-4%。这是本周即将到达你收件箱的谈话要点的回顾。我认为，随着当天早些时候购票的完成，今天上午的集会逐渐消退。“卖出反弹 ”是与买入下跌的新动态。1. 弱季节性- 自 1928 年以来，我们刚刚度过了一年中最好的两周时期。周五的期权到期结束了一年中最好的季节性时期。8 月份的季节性季节对市场不利，整个 8 月份都呈下降趋势，这是今年第四个最糟糕的两周季节性季节.今天你在这里，杰克逊霍尔是这张图表的最低点。自 1950 年以来，72 年来，标准普尔指数上半年涨幅至少超过 10% 的情况有 19 次。具体来说，8 月份的中值回报率在强劲的 1 小时后通常会下降 -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. 本年度最大资金流出- 投资者在 7 月份向市场配置资金，我们看到了这些创纪录的资金流入。这是今年以来股市最大的动态。资金流入继续以创纪录的速度进行，2021年的年流入将达到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 月份流量预测逆转- 8月份股票流入并不常见。在过去30年里，八月份通常是一年中最大的资金外流. -15bps AUM 通常会离开股票市场基金 在 8 月份，在约 22 万亿美元的情况下，我们建模了价值 -33B 美元的待售股票。</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. 外流继续。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资金流入。鉴于资金流入推高了最大和最大的市值指数权重，该指数水平仍保持在 ATHs。周一，我们看到一个大的MOC不平衡出售，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. 被动流量推动最大市值- 被动 ETF 仅在今年上半年就创下了有记录以来最好的全年流入量。(+500b)。我每天都看磁带，记录大的MOC不平衡在美国东部时间下午3:50买入，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 美元相当于流入前 5 家公司的 0.23 美元，流入 QQQ 的 1 美元相当于流入前 5 家公司的 0.41 美元。如果流入变为流出，您将不再看到广泛的指数动态。然后，投资者需要决定哪个行业成为资金外流的资金来源。</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>全球权益：1年期：+$600B被动（入）vs$0.0B主动（出）=&gt;$600B。</li><li>全球股票：5 年期：+$2.30T 被动 (IN) vs. -$1.90T 主动 (OUT) = &gt;$4.2T</li><li>全球股权：10 年期：+4T 美元被动 (IN) vs. -3.0T 美元主动 (OUT) = &gt;7.0T 美元</li><li>当前全球股票主动资产管理规模为 10.099 吨，超过 &gt; 当前全球股票被动资产管理规模为 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周一的巨量成交量了吗（3倍空头QQQ）？</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>6、单股评级- 由于看涨期权期权交易，这与 2020 年 7 月和 8 月的峰值非常相似。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 -392bps。</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>Option notional 7 月份的日均交易额创下历史新高，达到每天 550B 美元。交易量排名前 3 的股票（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 个可交易的单一股票期权中，排名前 3 的股票期权占每日平均名义交易量的 56%。加上接下来的 7 个，这一比例跃升至 72%。”</li><li>“换句话说，前 10 只基础股票的平均交易量是底部 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（每天名义交易总额仅为 60 亿美元）转向居家办公。每日期权交易量最高的名称也是最大的指数权重。除了 ETF 流动之外，零售看涨期权期权购买狂潮还占据了单个名称的每周 gamma。今天交易的单一股票期权中有 75% 的到期时间为两周或更短。换句话说，鉴于 GS YOLO 风险情绪篮子已经翻转，AAPL 是否需要接下来追赶（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>每天80亿美元的商店</li><li>80亿美元/天谷歌</li><li>80亿美元/天NFLX</li><li>70亿美元/天爸爸</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 Mo' Yolo？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量：</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 谷歌/GOOGL/微软/脸书/NFLX/NVDA/商店/巴巴</li><li>60亿美元/天AMC/GME</li><li>1410 亿美元/天所有其他基础资产</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. 选项伽马展开- 期权到期刚刚滚出市场多头伽马的 -85%。市场现在有能力更自由地移动，交易更少的长伽马。上周，随着交易商重新对冲他们的伽马（逢低买入），市场每天都会反弹到收盘。我开始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 ”需求购买对冲杰克逊霍尔的套期保值，消除长期伽马做空以对冲下行空间。本周我们看到的看跌期权和看跌期权价差比 2021 年的任何一周都多。</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>星期三 (7/14) SPX gamma = +$4,625B</li><li>星期四 (7/15) SPX gamma = +$3,620B</li><li>星期五 (7/16) SPX gamma = +$3,136B</li><li>星期一 (7/19) SPX gamma = +$2,698B</li><li>星期二（7月20日）SPX伽马=+$713B。</li></ul>在过去的5天里，长标普500伽马减少了-85%，减少了经销商的长伽马。这种动态改变了市场行为，尽管交易量有所上升，但我们几乎没有看到从这里系统地重写的需求。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- 非经济型已经接近最大敞口，从这里开始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趋势。</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 年军衔为 90%，3 年军衔为 84%。</li><li>GS模型-下周将出售 90 亿美元的股票。CTA 的销售员是上带、下带、下带。这并不常见。在接下来的一个月里，看看巨大的不对称性。</li><li>GS 短期 CTA ES1 翻转水平=$4,257.90.我们昨天跳闸了这个断路器，但今天早上更高了。我预计 GS 的销售预期将会增加。</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86%百分位数，3年等级75%百分位数。仅供参考。SPX看跌期权/看涨期权比率昨天创下一年新高。</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，3 年等级为 53% 百分位。</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年排名的92%百分位数，3年排名的80%百分位数。这很重要。这种非情绪化的需求达到了最大值，会降低卖家的价格。</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 out of office outlook (OOO) 回复计数器。我上周的笔记显示，week 在 “几周后见 ”或 “去钓鱼 ”的曲调下获得了最大的回扣。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个月来第一次延长假期日程等，因为杰克逊霍尔而提前。</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，但周六可能会很重要。这将对冲移动到下周。</li><li>劳动节，9 月 6 日（星期一交换假期） - 今年晚些时候</li><li>大约是9月7日（星期二）儿童开学第一天</li><li>流动性=八月夏季–ZZZZ。在昨天的抛售中，顶级账簿流动性大幅下降。</li></ol>***尽管在清单中排名第10。这真的是图表#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，即约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，但股票发行也来了，中和了回购冲动。当公司遇到公司时。来自销售和交易同事约翰·弗拉德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>“这一直是一场纸上谈兵的聚会，而且这篇论文越来越难发表。上周，我们对美国的 11 笔注册交易进行了定价（名义上 30 亿美元），本周已经在处理另外 18 笔交易（名义上 100 亿美元）。这一点在 7 月下旬尤其值得注意”。</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 月份的平均周发行量为 34 亿美元。</li><li>上周有 27 笔股票交易推向市场，而自 2000 年以来，7 月份平均每周有 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：将八月份的战术资金流清单留在你的雷达上。8月份技术市场结构动态发生重大变化.我认为会有一个下跌（-5%），这意味着在进入杰克逊霍尔后期买入。共识是呼吁进行更大规模的股票市场调整，考虑到系统中的资本数量，我看不到这一点。如果我们触发关键水平下行，因为卖家较低，我会改变我的语气。如果 8 月份资金流出确实发生，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。一旦我们看到 8 月份的首次资金流出，这将是战术性做空的宏观触发因素.保持关注，密切关注流动性。</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","SPY":"标普500ETF",".DJI":"道琼斯",".SPX":"S&P 500 Index"},"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":{".DJI":0.9,".IXIC":0.9,"SPY":0.9,".SPX":0.9}},"isVote":1,"tweetType":1,"viewCount":2720,"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":8,"subscribersOnly":false,"subscribersOnlyAccessible":false,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/174519436"}