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2022-08-23

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SPY: Time To Get Out, Weak Short Sale Volumes Indicate Reversal<blockquote>SPDR标普500指数ETF：是时候退出了，卖空量疲软预示着逆转</blockquote>

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{"i18n":{"language":"zh_CN"},"detailType":1,"isChannel":false,"data":{"magic":2,"id":687439728,"tweetId":"687439728","gmtCreate":1661213777366,"gmtModify":1661213782485,"author":{"id":3570187411453325,"idStr":"3570187411453325","authorId":3570187411453325,"authorIdStr":"3570187411453325","name":"Alan_Goh","avatar":"https://static.tigerbbs.com/de7c3c15ca8d800dc8cfed7fb85ee1b3","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"fanSize":13,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"extraTitle":"","html":"<html><head></head><body>Thanks very much for this detail write out!</body></html>","htmlText":"<html><head></head><body>Thanks very much for this detail write out!</body></html>","text":"Thanks very much for this detail write out!","highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":1,"repostSize":0,"favoriteSize":0,"link":"https://laohu8.com/post/687439728","repostId":1113960584,"repostType":4,"repost":{"id":"1113960584","kind":"news","pubTimestamp":1661237527,"share":"https://www.laohu8.com/m/news/1113960584?lang=zh_CN&edition=full","pubTime":"2022-08-23 14:52","market":"other","language":"en","title":"SPY: Time To Get Out, Weak Short Sale Volumes Indicate Reversal<blockquote>SPDR标普500指数ETF：是时候退出了，卖空量疲软预示着逆转</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1113960584","media":"Seeking Alpha","summary":"SummaryThe base effect was the fundamental reason why inflation had peaked. It will be challenging t","content":"<html><head></head><body>Summary<blockquote><html><head></head><body>总结</body></html></blockquote><ul><li>The base effect was the fundamental reason why inflation had peaked. It will be challenging to stop the most lagged part of inflation.</li><li>The markets don&#39;t realize that fed members are in full hawkish mode. Although the market is certain about a soft-landing, the fed indicator suggests a recession.</li><li>Short-covering contributed to the latest bear market rally significantly. As there are very low short sales volumes right now, the reversion could be next.</li><li>SPY significantly deviated from real yields (strong inverse correlation) and this exemption won&#39;t last long.</li><li>The macroeconomic outlook could worsen with additional rate hikes, which is not supportive for EPS.</li></ul>In my most recent bond analysis, which focused on the iShares 20+ Year Treasury Bond ETF (TLT), inflation, and monetary outlook, we predicted that the YoY and MoM inflation peaks would both occur in the months of July - September. I wagered that commodity prices would decline and that other leading indicators would also dramatically deteriorate. However the Fed responds to the most lagging inflation parts, the CPI/PCE/core CPI report from July is not initially bullish. Lower commodities prices had a significant impact on the MoM&#39;s &#34;stabilization,&#34; but the most lagging drivers to the CPI - shelter and services are still quite high and are still increasing. The necessary items, which the Fed wants to stabilize, are not stabilizing.<blockquote><ul><li>基数效应是通胀见顶的根本原因。阻止通胀最滞后的部分将是一项挑战。</li><li>市场没有意识到美联储成员完全处于鹰派模式。尽管市场肯定会软着陆，但美联储指标显示经济衰退。</li><li>空头回补对最近的熊市反弹做出了重大贡献。由于目前卖空量非常低，下一个可能会出现逆转。</li><li>SPDR标普500指数ETF明显偏离实际收益率（强负相关），这种豁免不会持续太久。</li><li>进一步加息可能会导致宏观经济前景恶化，这对每股收益不利。</li></ul>在我最近的债券分析中，重点关注iShares 20+年期国债ETF(TLT)、通胀和货币前景，我们预测同比和环比通胀峰值都将出现在7月至9月。我打赌大宗商品价格会下跌，其他领先指标也会大幅恶化。无论美联储如何应对最滞后的通胀部分，7月份的CPI/PCE/核心CPI报告最初并不乐观。大宗商品价格下跌对MoM的“企稳”产生了重大影响，但CPI最滞后的驱动因素——住房和服务业仍然相当高，并且仍在增加。美联储想要稳定的必要项目并没有稳定下来。</blockquote>On first glance, the market rallied due to strong data from inflation prints, but in our breakdown, the data has not been strong at all. SPDR S&amp;P 500 Trust ETF (NYSEARCA:SPY) deviated from the long-term inverse correlation between real yields and SPY&#39;s price mainly due to a &#34;strong fundamental week.&#34; However, I&#39;m firmly convinced this was another bear market rally. Medium-term inflation expectations rose, which is not a good case for stocks. In summary, we can await more rate hikes to come, more than the market currently prices in.<blockquote>乍一看，由于通胀数据强劲，市场上涨，但在我们的细分中，数据一点也不强劲。SPDR标普500信托ETF（NYSEARCA：SPDR标普500指数ETF）偏离了实际收益率与SPDR标普500指数ETF价格之间的长期负相关关系，主要是由于“强劲的基本面周”。然而，我坚信这是另一次熊市反弹。中期通胀预期上升，这对股票来说不是一个好的案例。总而言之，我们可以等待更多加息，幅度超过市场目前的预期。</blockquote>Inflation breakdown<blockquote>通货膨胀细分</blockquote>The CPI&#39;s YoY growth was still high at 8.5% and rose in July by zero percent. However, the core CPI rose &#34;only&#34; by 0.2%, which was lower than the consensus. Nevertheless, if you make an inflation breakdown, you will see the drivers. Motor fuel (oil &amp; gas) has contributed very negatively to the overall CPI monthly change. This item is the most current in the lagged CPI. However, the most lagging components of the CPI are housing, food prices, medical care services, and other services, and it will take some time for these inputs to stabilize or decline.<blockquote>CPI同比增速仍高达8.5%，7月份涨幅为零。然而，核心CPI“仅”上涨0.2%，低于市场普遍预期。然而，如果你对通货膨胀进行细分，你就会看到驱动因素。汽车燃料（石油和天然气）对整体CPI月度变化的贡献非常负面。该项目是滞后CPI中最新的。然而，CPI最滞后的组成部分是住房、食品价格、医疗保健服务和其他服务，这些投入需要一段时间才能稳定或下降。</blockquote><img src=\"https://static.tigerbbs.com/32fb983d571f92f960166b97b1eb1e09\" tg-width=\"640\" tg-height=\"502\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>CPI monthly change(@MacroAlf)<blockquote>CPI月度变化(@MacroAlf)</blockquote>As I stated in my previous analysis on TLT, the consumer destruction will take place in 2-3 months. The issue is that supply-side inflation (mainly oil, gas, and other commodities) can be impacted only indirectly - mainly by lowered demand. That is what we see in the commodity market right now. Industrial commodities and the ones that have a great impact on overall CPI started to decline. But it does not reflect only demand destruction but also the quite strong economic slowdown (forward-looking). I still believe inflation will go down, but mainly due to the strong base effect caused by the measured style-YoY comparison. The much more important figure will be core inflation on a monthly basis.<blockquote>正如我在之前对TLT的分析中所说，消费者的毁灭将在2-3个月内发生。问题在于，供给侧通胀（主要是石油、天然气和其他大宗商品）只能受到间接影响——主要是需求下降。这就是我们目前在大宗商品市场上看到的情况。工业品和对整体CPI影响较大的商品开始回落。但这不仅反映了需求破坏，还反映了相当强劲的经济放缓（前瞻性）。我仍然相信通胀会下降，但主要是由于实测风格同比比较带来的强劲基数效应。更重要的数字将是月度核心通胀率。</blockquote>Still, if inflation were to be zero on a monthly basis till the end of the year, it would still be at 6.5%, and if it were to be longer, it would be at 3.3% in March. Still significantly above the fed&#39;s medium-term target. I am confident that inflation will fall, and that we will see a significant slowdown in 4Q2022, but this must be accompanied by a continued reduction in consumption and GDP growth forecasts.<blockquote>尽管如此，如果通胀率在年底前按月为零，仍将为6.5%，如果通胀率更长，3月份将为3.3%。仍明显高于美联储的中期目标。我有信心通货膨胀会下降，而且2022年第四季度我们会看到明显放缓，但是这必须伴随着消费和GDP增长预测的继续下调。</blockquote><img src=\"https://static.tigerbbs.com/16abe6e1dd19cfbe7ada120183feb6d6\" tg-width=\"1280\" tg-height=\"906\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Projecting CPI at Year-End(BLS, Cleveland Federal Reserve Nowcast)<blockquote>预测年底CPI（BLS、克利夫兰联储即时预测）</blockquote>Outlook on the monetary policy<blockquote>货币政策展望</blockquote>I&#39;m strongly convinced that inflation will go down on a YoY basis. On the other hand, I&#39;m a little bit less convinced by the MoM point of view. To support this scenario, the fed will need to be very hawkish to convince the market that it will do so. Despite still having a very inverted yield curve, the market started to price in fewer rate cuts than anticipated 2-3 weeks ago. And this is all on the back of lower-than-expected inflation figures from a week ago. The spread between Fed funds futures rates in Dec 2022 and Dec 2023 is reaching less than -0.2, thus implying market expectations of almost only one rate cut till Dec 2023.<blockquote>我坚信通货膨胀将同比下降。另一方面，我不太相信妈妈的观点。为了支持这种情况，美联储需要非常强硬地让市场相信它会这样做。尽管收益率曲线仍然非常倒挂，但市场开始消化的降息幅度低于2-3周前的预期。这一切都是基于一周前低于预期的通胀数据。2022年12月和2023年12月联邦基金期货利率之间的利差达到-0.2以下，这意味着市场预期到2023年12月几乎只会降息一次。</blockquote><img src=\"https://static.tigerbbs.com/b8a4b790ae098a035c35b830ca03c865\" tg-width=\"640\" tg-height=\"376\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Spread between FFF 12/2022 and 12/2023(Author´s calculation via Tradingview)<blockquote>FFF 12/2022和12/2023之间的利差（作者通过Tradingview计算）</blockquote>Despite the fact that the market began slightly repeating the FOMC member&#39;s rhetoric, the stocks rallied significantly. It is because the market believed the narrative of &#34;soft-landing&#34; to be more probable than before inflation prints. However, the inflation fight is still not over. I consider this rally unsustainable and not supported by the macro fundamentals. After the inflation print, rates expectations measured by Fed funds futures rose quite significantly.<blockquote>尽管市场开始略微重复联邦公开市场委员会成员的言论，但股市仍大幅上涨。这是因为市场认为“软着陆”的说法比通胀数据公布前更有可能出现。然而，通胀斗争仍未结束。我认为这次反弹是不可持续的，也没有宏观基本面的支持。通胀数据公布后，以联邦基金期货衡量的利率预期大幅上升。</blockquote><img src=\"https://static.tigerbbs.com/33f3f05a2f5ce92a0dc8992ced3b6a53\" tg-width=\"640\" tg-height=\"373\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Rates expectations measured by FFF(Author´s calculations via Tradingview)<blockquote>FFF衡量的利率预期（作者通过Tradingview计算）</blockquote>Thus, retail investors are fairly misled by inflation print and soft-landing. This scenario does not support the thesis of being bullish at current levels. However, for me, the very strong narrative stands behind the real yields and SPY. There is a very strong negative correlation among the variables, which the market fully ignored until Friday.<blockquote>因此，散户投资者被通胀数据和软着陆误导了。这种情况并不支持在当前水平看涨的论点。然而，对我来说，真实收益率和SPDR标普500指数ETF背后有着非常强有力的叙述。变量之间存在非常强的负相关性，直到周五市场才完全忽略了这一点。</blockquote><img src=\"https://static.tigerbbs.com/fed22002670360778cb46af429c3e6fd\" tg-width=\"767\" tg-height=\"468\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Real Yields vs. S&amp;P500(Bloomberg, Morgan Stanley Research)<blockquote>实际收益率与标准普尔500指数（彭博社、摩根士丹利研究）</blockquote>The key driver of the latest rally was short-covering<blockquote>最近一次反弹的关键驱动力是空头回补</blockquote>As many investors / traders followed the inflation print and saw a market rally, they massively closed their short positions or bets, which led to a significant rally from the bottom. That&#39;s the true reason why the market rallied in the previous weeks. And it only makes sense to me because macro fundamentals such as real yields and other leading indicators have all worsened, just hand in hand with a strong labor market. Despite the rise in real yields, the market rallied in recent weeks, their negative correlation deviated significantly from normal conditions, giving me no reason to be bullish from a macro perspective.<blockquote>由于许多投资者/交易者跟随通胀数据并看到市场反弹，他们大量平仓空头头寸或押注，这导致了从底部的大幅反弹。这才是前几周市场上涨的真正原因。这对我来说才有意义，因为实际收益率和其他领先指标等宏观基本面都在恶化，只是与强劲的劳动力市场齐头并进。尽管实际收益率上升，市场在最近几周反弹，但它们的负相关性明显偏离了正常情况，从宏观角度来看，我没有理由看涨。</blockquote>On the contrary, as I said, the rally was caused mainly by short covering (the closing of short position) and it was the 3rd most aggressive short-covering in the latest ten years.<blockquote>相反，正如我所说，反弹主要是由空头回补（空头头寸平仓）引起的，这是最近十年中第三次最激进的空头回补。</blockquote><img src=\"https://static.tigerbbs.com/4500679330262cedb633a0fba418e7ad\" tg-width=\"611\" tg-height=\"367\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Short covering / Short selling(GS Prime Book via Investro)<blockquote>空头回补/卖空（GS Prime Book via Investro）</blockquote>And also a great chart from @MacroCharts, which measures the sum of (QQQ) deltas, indicated that this massive rally was caused by a full switch of position. As there are monitored deltas for QQQ, I believe it will be similar for the S&amp;P 500 or SPY, because major stocks from QQQ are also integrated with significant weights in SPY. From the extremely short to the extremely long ones. For me, it is absolutely unsustainable to remain at such levels, and the rising probability of further downturn, combined with macro fundamentals, gives me quite strong confidence.<blockquote>@MacroCharts的一张很棒的图表测量了(QQQ)增量之和，表明这次大规模反弹是由头寸完全转换引起的。由于QQQ有受监控的增量，我相信标普500或SPDR标普500指数ETF的情况也会类似，因为QQQ的主要股票在SPDR标普500指数ETF也具有重要权重。从极短到极长。对我来说，维持在这样的水平是绝对不可持续的，而进一步下行的概率上升，结合宏观基本面，给了我相当强的信心。</blockquote><img src=\"https://static.tigerbbs.com/984923367a1ab56eb4804dde1f6a5a07\" tg-width=\"800\" tg-height=\"450\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Sum of QQQ Deltas(Charlie Mcelligott / Nomura via @MacroCharts)<blockquote>QQQ增量之和（Charlie Mcelligott/野村证券，来自@MacroCharts）</blockquote>Another very important measure, which I highly recommend, is to follow short sale volumes for SPY/QQQ and others. The chart below just implies there is a lack of shorts or very low activity in short selling, which is a great contrarian indicator. The 10-day moving average of short sale volume, measured by FINRA, indicates there is a lack of short sale volume, indicates the market is probably exhausted. It also confirms the thesis of short-covering rally in the previous weeks as well. Just look at the significant numbers of short selling in mid June, in hand with the market bottom. There should be no surprises about the following market squeeze or strong short-covering activity. Currently, I see a strong reversal situation, thus giving room for another leg down in SPY. However, I also could be wrong, but combined with the real yields narrative, the worsening economic situation, and the strong contrarian indicator of short sale volume, I am firmly convinced this was another bear market rally.<blockquote>我强烈推荐的另一个非常重要的措施是跟踪SPDR标普500指数ETF/QQQ和其他公司的卖空量。下图只是暗示缺乏空头或卖空活动非常低，这是一个很好的反向指标。FINRA测量的卖空量10天移动平均线表明卖空量不足，表明市场可能已经疲惫不堪。这也证实了前几周空头回补反弹的论点。只要看看六月中旬市场触底时大量卖空就知道了。接下来的市场挤压或强劲的空头回补活动应该不会令人意外。目前，我看到了强劲的逆转情况，从而为SPDR标普500指数ETF的另一次下跌提供了空间。然而，我也可能是错的，但结合实际收益率叙述、不断恶化的经济形势以及卖空量的强劲逆势指标，我坚信这是另一次熊市反弹。</blockquote>The Fed believes a soft landing is less likely than the market<blockquote>美联储认为软着陆的可能性低于市场</blockquote>The reason why I believe such a narrative is caused by FOMC members&#39; statements as well as by the data-driven approach. First of all, there are leading indicators that are screaming to us that inflation as well as economic growth will slow down. However, as previously stated, the YoY will slow, and the MoM will most likely stabilize. However, even if there is a 0% MoM change until the end of the year, inflation will still be significantly above the medium term horizon and above the fed&#39;s key target. With so strong numbers from the labor market, the fed can be calm to focus really on inflation and to tame it. The sacrifice would be economic growth. This is the reason why I believe rate hikes will continue until the fed sees a portion of lagging core CPI MoM moving around -0.2% to 0.1% in the medium term.<blockquote>我之所以相信这样的叙述，是由FOMC成员的声明以及数据驱动的方法造成的。首先，有领先指标向我们尖叫，通胀和经济增长都将放缓。然而，如前所述，同比将会放缓，而环比很可能会稳定下来。然而，即使年底前环比变化为0%，通胀仍将明显高于中期水平，也高于美联储的关键目标。由于劳动力市场数据如此强劲，美联储可以冷静地真正关注通胀并抑制通胀。牺牲的将是经济增长。这就是为什么我认为加息将持续下去，直到美联储看到部分滞后的核心CPI环比在中期内徘徊在-0.2%至0.1%左右。</blockquote>Now, let&#39;s summarize some of the latest statements from FOMC members.<blockquote>现在，让我们总结一下FOMC成员的一些最新表态。</blockquote>Fed&#39;s Bullard, according to Reuters:<blockquote>据路透社报道，美联储布拉德：</blockquote>St. Louis Fed President James Bullard, who was among the central bank&#39;s earliest advocates last year of a more muscular response to fast-building price pressures, said that given the strength of the economy he is currently leaning toward supporting a third straight 75-basis-point interest rate hike in September.Also, Mary Daly, president of the San Francisco Federal Reserve,stated earlier on Thursday that raising rates by 50 or 75 basis points at the fed&#39;s upcoming policy meeting on September 20-21 would be a &#34;reasonable&#34; way to raise short-term borrowing costs to slightly above 3% by the end of this year and put them on a path to a little bit higher in 2023.<blockquote>圣路易斯联储主席詹姆斯·布拉德(James Bullard)是美联储去年最早主张对快速上涨的物价压力做出更有力反应的人之一，他表示，鉴于经济实力，他目前倾向于支持连续第三次75个基点的加息。此外，旧金山联储主席Mary Daly周四早些时候表示，在美联储即将于9月20日至21日举行的政策会议上加息50或75个基点将是提高短期借贷成本的“合理”方式，到今年年底将略高于3%，并在2023年走上略高的道路。</blockquote>Also a kindly hawkish note from the Fed&#39;s Kashkari:<blockquote>美联储卡什卡利也发表了善意的鹰派言论：</blockquote>So the question right now is, can we bring inflation down without triggering a recession? And my answer to that question is: I don’t know. Fed has more work to do in raising interest rates to bring inflation down.Despite the better than expected inflation print, the fight is not over and there must be a clear indication of tightening conditions that will continue to bring inflation down. Until then, the market still hopes for a soft-landing as in 2019, but this is really different story. I&#39;m firmly convinced it will bring a bigger economic slowdown than the current one, but I don&#39;t know if it will be a big recession. Probably not. But it will be harder than soft-landing. Kashkari is one of the first FOMC members to admit that they are unsure whether it will cause the recession or not. They just can&#39;t tell you, &#34;for sure we will cause a recession.&#34; However, in the previous months, when the yield curve started to be inverted, the fed screamed that it was not an appropriate indicator of recession. The opposite is the truth.<blockquote>所以现在的问题是，我们能否在不引发衰退的情况下降低通胀？我对这个问题的回答是：我不知道。美联储在加息以降低通胀方面还有更多工作要做。尽管通胀数据好于预期，但斗争尚未结束，必须有明确的迹象表明紧缩条件将继续压低通胀。在此之前，市场仍然希望像2019年那样软着陆，但这确实是另一回事。我坚信它会带来比目前更大的经济放缓，但我不知道这是否会是一场大衰退。应该不会吧。但这将比软着陆更难。卡什卡利是首批承认他们不确定这是否会导致经济衰退的FOMC成员之一。他们只是不能告诉你，“我们肯定会导致衰退。”然而，在前几个月，当收益率曲线开始倒挂时，美联储尖叫称这不是一个合适的衰退指标。事实恰恰相反。</blockquote>However, the fed released its own indicator of forecasting recession, slightly different than the classic yield curve, which had not been inverted before. It is now fully inverted, which, according to previous fed papers, should clearly indicate a recession going forward. A great chart from@MacroAlfcalculated the development of this indicator, and as it was almost one month ago, it started to be inverted, thus confirming that the fed knows and is aware of the ongoing recession. Regardless of what they say. It was the only opinion as the yield curve started to be inverted that it was better to monitor the &#34;near-term spread,&#34; calculated as 18m forward 3m yields minus 3m yields, as it is a much more precise predictor of the upcoming recession.<blockquote>然而，美联储发布了自己预测衰退的指标，与经典的收益率曲线略有不同，后者此前并未出现倒挂。现在它已经完全倒挂，根据美联储之前的文件，这应该清楚地表明未来将出现衰退。@MacroAlf的一张很棒的图表计算了该指标的发展，就像大约一个月前一样，它开始倒挂，从而证实了美联储知道并意识到正在进行的衰退。不管他们怎么说。当收益率曲线开始倒挂时，唯一的观点是最好监控“近期利差”，计算为1800万远期300万收益率减去300万收益率，因为它是对即将到来的衰退的更精确的预测。</blockquote><img src=\"https://static.tigerbbs.com/aced83130fc7620517eccea36b9a2d28\" tg-width=\"952\" tg-height=\"650\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Fed´s preferred yield curve indicator(@MacroAlf)<blockquote>美联储首选收益率曲线指标(@MacroAlf)</blockquote>Earnings are lagged, CPI too<blockquote>盈利滞后，CPI也滞后</blockquote>However, I&#39;m convinced that CPI will go down and the fed will tame inflation. The issue is that there will be an EPS drop as well. To tame inflation rapidly, it is necessary to cause an economic slowdown. However, it is happening right now, and many leading indicators are confirming this thesis. Companies are oversupplied (with inventories), commodity prices are falling, and PMI and new orders are dropping too. Oil is falling; however, natural gas recovered from the total drawdown seen in July. Nevertheless, the macro indicators tell me that inflation will calm down, but the fed needs to continue doing its job and focus on inflation. I also believe that it can cause a mild recession and then we could see slight rate cuts in 2023. The next chart shows the leading indicator - G5 Credit Impulse and its impact on S&amp;P 500 EPS as well as CPI YoY. Both are well lagged vs. their leading indicator, which leads by 4-5 quarters. This also supports our thesis, thus giving room for EPS decline as well as for CPI decline.<blockquote>然而，我相信消费者物价指数将会下降，美联储将抑制通胀。问题是每股收益也会下降。要迅速抑制通货膨胀，就必须造成经济放缓。然而，它正在发生，许多领先指标正在证实这一论点。企业供过于求（库存），大宗商品价格下跌，PMI和新订单也在下降。石油正在下跌；然而，天然气从7月份的总体下降中恢复过来。尽管如此，宏观指标告诉我，通胀将会平静下来，但美联储需要继续做好自己的工作，专注于通胀。我还认为，这可能会导致温和的衰退，然后我们可能会在2023年看到小幅降息。下图显示了领先指标——G5信贷冲动及其对标普500每股收益和CPI同比的影响。两者都远远落后于领先指标，领先指标领先4-5个季度。这也支持了我们的论点，从而为每股收益下降和CPI下降提供了空间。</blockquote><img src=\"https://static.tigerbbs.com/9f434d630603e9b6a62684bdcc200676\" tg-width=\"832\" tg-height=\"699\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>G5 Credit impluse as leading indicator(@MacroAlf)<blockquote>G5 Credit impluse作为领先指标(@MacroAlf)</blockquote>Risks and Summary<blockquote>风险及总结</blockquote>Let&#39;s start with the risk to our thesis. The first risk can be that I have wrongly detected another bear market rally and where a bull market started. I do not say we will find the new bottom. Currently, I&#39;m convinced that under current macro circumstances, followed by sale volumes and short-covering narrative, the market is overbought and should decline 5-15% from its current levels. The next risk to this thesis is that inflation will fall fast with a soft-landing. Although I see a little probability, it is still a kind of scenario. When inflation, mainly core inflation, drops significantly, it could cause the fed to stop the tightening cycle and, after 2-3 quarters, to ease conditions rapidly. And that&#39;s all without economic damage, with a strong labor market and slight economic growth. Currently, I&#39;m not convinced that is the case.<blockquote>让我们从论文的风险开始。第一个风险可能是我错误地发现了另一次熊市反弹以及牛市开始的地方。我不是说我们会找到新的底部。目前，我相信，在当前的宏观环境下，以及随后的销量和空头回补叙述，市场已超买，应该会比当前水平下跌5-15%。这篇论文的下一个风险是通胀将随着软着陆而快速下降。虽然我看到了一点概率，但它仍然是一种场景。当通胀（主要是核心通胀）大幅下降时，可能会导致美联储停止紧缩周期，并在2-3个季度后迅速放松条件。这一切都没有造成经济损失，劳动力市场强劲，经济略有增长。目前，我不相信情况是这样。</blockquote>In my opinion, the short scenario has significantly bigger odds right now for plenty of reasons: Real yields and the SPY correlation have significantly deteriorated and deviated, which is unsustainable in my opinion. Additionally, we saw that due to strong short-covering rally - the 3rd largest in the last 10 years. Next reason is that there is a lack of short sellers right now, which could indicate a short-term market peak. The market rally could be exhausted because there are no short sellers. The next indicator is the still and tireless statements from FOMC&#39;s members, which are still very hawkish, and the best case is to DO NOT FIGHT THE FED. The most recent narrative remains focused on inflation print. Very volatile figures and the most current ones as motor fuel, transportation, and others are down, but it depends on prices (on the market). However, the fed wants to see the most lagging parts as a shelter, services, and demand side inflation to cool down. It will take some time, and I believe we will see that. But also, it will have a negative impact on EPS. Also, I can be wrong, but these are the key reasons why I firmly believe that the market is exhausted (upwards) and a short-term rally downwards could continue.<blockquote>在我看来，目前空头情景的可能性要大得多，原因有很多：实际收益率和SPDR标普500指数ETF相关性显着恶化和偏离，我认为这是不可持续的。此外，我们看到，由于强劲的空头回补反弹——这是过去10年来的第三大反弹。下一个原因是目前缺乏卖空者，这可能预示着短期市场见顶。市场涨势可能会耗尽，因为没有卖空者。下一个指标是FOMC成员们仍然不厌其烦的声明，这些声明仍然非常鹰派，最好的情况是不要对抗美联储。最近的叙述仍然集中在通货膨胀打印。非常不稳定的数字和最新的数字，如汽车燃料、运输和其他下降，但这取决于（市场上的）价格。然而，美联储希望看到住房、服务业和需求侧通胀等最滞后的部分降温。这需要一些时间，我相信我们会看到这一点。但也会对每股收益产生负面影响。此外，我可能是错的，但这些是我坚信市场已经耗尽（向上）并且短期向下反弹可能会继续的关键原因。</blockquote></body></html><blockquote></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>SPY: Time To Get Out, Weak Short Sale Volumes Indicate Reversal<blockquote>SPDR标普500指数ETF：是时候退出了，卖空量疲软预示着逆转</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; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\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\">\nSPY: Time To Get Out, Weak Short Sale Volumes Indicate Reversal<blockquote>SPDR标普500指数ETF：是时候退出了，卖空量疲软预示着逆转</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nSeeking Alpha2022-08-23 14:52\n\n</h4>\n</header>\n<article>\n<html><head></head><body>Summary<blockquote><html><head></head><body>总结</body></html></blockquote><ul><li>The base effect was the fundamental reason why inflation had peaked. It will be challenging to stop the most lagged part of inflation.</li><li>The markets don&#39;t realize that fed members are in full hawkish mode. Although the market is certain about a soft-landing, the fed indicator suggests a recession.</li><li>Short-covering contributed to the latest bear market rally significantly. As there are very low short sales volumes right now, the reversion could be next.</li><li>SPY significantly deviated from real yields (strong inverse correlation) and this exemption won&#39;t last long.</li><li>The macroeconomic outlook could worsen with additional rate hikes, which is not supportive for EPS.</li></ul>In my most recent bond analysis, which focused on the iShares 20+ Year Treasury Bond ETF (TLT), inflation, and monetary outlook, we predicted that the YoY and MoM inflation peaks would both occur in the months of July - September. I wagered that commodity prices would decline and that other leading indicators would also dramatically deteriorate. However the Fed responds to the most lagging inflation parts, the CPI/PCE/core CPI report from July is not initially bullish. Lower commodities prices had a significant impact on the MoM&#39;s &#34;stabilization,&#34; but the most lagging drivers to the CPI - shelter and services are still quite high and are still increasing. The necessary items, which the Fed wants to stabilize, are not stabilizing.<blockquote><ul><li>基数效应是通胀见顶的根本原因。阻止通胀最滞后的部分将是一项挑战。</li><li>市场没有意识到美联储成员完全处于鹰派模式。尽管市场肯定会软着陆，但美联储指标显示经济衰退。</li><li>空头回补对最近的熊市反弹做出了重大贡献。由于目前卖空量非常低，下一个可能会出现逆转。</li><li>SPDR标普500指数ETF明显偏离实际收益率（强负相关），这种豁免不会持续太久。</li><li>进一步加息可能会导致宏观经济前景恶化，这对每股收益不利。</li></ul>在我最近的债券分析中，重点关注iShares 20+年期国债ETF(TLT)、通胀和货币前景，我们预测同比和环比通胀峰值都将出现在7月至9月。我打赌大宗商品价格会下跌，其他领先指标也会大幅恶化。无论美联储如何应对最滞后的通胀部分，7月份的CPI/PCE/核心CPI报告最初并不乐观。大宗商品价格下跌对MoM的“企稳”产生了重大影响，但CPI最滞后的驱动因素——住房和服务业仍然相当高，并且仍在增加。美联储想要稳定的必要项目并没有稳定下来。</blockquote>On first glance, the market rallied due to strong data from inflation prints, but in our breakdown, the data has not been strong at all. SPDR S&amp;P 500 Trust ETF (NYSEARCA:SPY) deviated from the long-term inverse correlation between real yields and SPY&#39;s price mainly due to a &#34;strong fundamental week.&#34; However, I&#39;m firmly convinced this was another bear market rally. Medium-term inflation expectations rose, which is not a good case for stocks. In summary, we can await more rate hikes to come, more than the market currently prices in.<blockquote>乍一看，由于通胀数据强劲，市场上涨，但在我们的细分中，数据一点也不强劲。SPDR标普500信托ETF（NYSEARCA：SPDR标普500指数ETF）偏离了实际收益率与SPDR标普500指数ETF价格之间的长期负相关关系，主要是由于“强劲的基本面周”。然而，我坚信这是另一次熊市反弹。中期通胀预期上升，这对股票来说不是一个好的案例。总而言之，我们可以等待更多加息，幅度超过市场目前的预期。</blockquote>Inflation breakdown<blockquote>通货膨胀细分</blockquote>The CPI&#39;s YoY growth was still high at 8.5% and rose in July by zero percent. However, the core CPI rose &#34;only&#34; by 0.2%, which was lower than the consensus. Nevertheless, if you make an inflation breakdown, you will see the drivers. Motor fuel (oil &amp; gas) has contributed very negatively to the overall CPI monthly change. This item is the most current in the lagged CPI. However, the most lagging components of the CPI are housing, food prices, medical care services, and other services, and it will take some time for these inputs to stabilize or decline.<blockquote>CPI同比增速仍高达8.5%，7月份涨幅为零。然而，核心CPI“仅”上涨0.2%，低于市场普遍预期。然而，如果你对通货膨胀进行细分，你就会看到驱动因素。汽车燃料（石油和天然气）对整体CPI月度变化的贡献非常负面。该项目是滞后CPI中最新的。然而，CPI最滞后的组成部分是住房、食品价格、医疗保健服务和其他服务，这些投入需要一段时间才能稳定或下降。</blockquote><img src=\"https://static.tigerbbs.com/32fb983d571f92f960166b97b1eb1e09\" tg-width=\"640\" tg-height=\"502\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>CPI monthly change(@MacroAlf)<blockquote>CPI月度变化(@MacroAlf)</blockquote>As I stated in my previous analysis on TLT, the consumer destruction will take place in 2-3 months. The issue is that supply-side inflation (mainly oil, gas, and other commodities) can be impacted only indirectly - mainly by lowered demand. That is what we see in the commodity market right now. Industrial commodities and the ones that have a great impact on overall CPI started to decline. But it does not reflect only demand destruction but also the quite strong economic slowdown (forward-looking). I still believe inflation will go down, but mainly due to the strong base effect caused by the measured style-YoY comparison. The much more important figure will be core inflation on a monthly basis.<blockquote>正如我在之前对TLT的分析中所说，消费者的毁灭将在2-3个月内发生。问题在于，供给侧通胀（主要是石油、天然气和其他大宗商品）只能受到间接影响——主要是需求下降。这就是我们目前在大宗商品市场上看到的情况。工业品和对整体CPI影响较大的商品开始回落。但这不仅反映了需求破坏，还反映了相当强劲的经济放缓（前瞻性）。我仍然相信通胀会下降，但主要是由于实测风格同比比较带来的强劲基数效应。更重要的数字将是月度核心通胀率。</blockquote>Still, if inflation were to be zero on a monthly basis till the end of the year, it would still be at 6.5%, and if it were to be longer, it would be at 3.3% in March. Still significantly above the fed&#39;s medium-term target. I am confident that inflation will fall, and that we will see a significant slowdown in 4Q2022, but this must be accompanied by a continued reduction in consumption and GDP growth forecasts.<blockquote>尽管如此，如果通胀率在年底前按月为零，仍将为6.5%，如果通胀率更长，3月份将为3.3%。仍明显高于美联储的中期目标。我有信心通货膨胀会下降，而且2022年第四季度我们会看到明显放缓，但是这必须伴随着消费和GDP增长预测的继续下调。</blockquote><img src=\"https://static.tigerbbs.com/16abe6e1dd19cfbe7ada120183feb6d6\" tg-width=\"1280\" tg-height=\"906\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Projecting CPI at Year-End(BLS, Cleveland Federal Reserve Nowcast)<blockquote>预测年底CPI（BLS、克利夫兰联储即时预测）</blockquote>Outlook on the monetary policy<blockquote>货币政策展望</blockquote>I&#39;m strongly convinced that inflation will go down on a YoY basis. On the other hand, I&#39;m a little bit less convinced by the MoM point of view. To support this scenario, the fed will need to be very hawkish to convince the market that it will do so. Despite still having a very inverted yield curve, the market started to price in fewer rate cuts than anticipated 2-3 weeks ago. And this is all on the back of lower-than-expected inflation figures from a week ago. The spread between Fed funds futures rates in Dec 2022 and Dec 2023 is reaching less than -0.2, thus implying market expectations of almost only one rate cut till Dec 2023.<blockquote>我坚信通货膨胀将同比下降。另一方面，我不太相信妈妈的观点。为了支持这种情况，美联储需要非常强硬地让市场相信它会这样做。尽管收益率曲线仍然非常倒挂，但市场开始消化的降息幅度低于2-3周前的预期。这一切都是基于一周前低于预期的通胀数据。2022年12月和2023年12月联邦基金期货利率之间的利差达到-0.2以下，这意味着市场预期到2023年12月几乎只会降息一次。</blockquote><img src=\"https://static.tigerbbs.com/b8a4b790ae098a035c35b830ca03c865\" tg-width=\"640\" tg-height=\"376\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Spread between FFF 12/2022 and 12/2023(Author´s calculation via Tradingview)<blockquote>FFF 12/2022和12/2023之间的利差（作者通过Tradingview计算）</blockquote>Despite the fact that the market began slightly repeating the FOMC member&#39;s rhetoric, the stocks rallied significantly. It is because the market believed the narrative of &#34;soft-landing&#34; to be more probable than before inflation prints. However, the inflation fight is still not over. I consider this rally unsustainable and not supported by the macro fundamentals. After the inflation print, rates expectations measured by Fed funds futures rose quite significantly.<blockquote>尽管市场开始略微重复联邦公开市场委员会成员的言论，但股市仍大幅上涨。这是因为市场认为“软着陆”的说法比通胀数据公布前更有可能出现。然而，通胀斗争仍未结束。我认为这次反弹是不可持续的，也没有宏观基本面的支持。通胀数据公布后，以联邦基金期货衡量的利率预期大幅上升。</blockquote><img src=\"https://static.tigerbbs.com/33f3f05a2f5ce92a0dc8992ced3b6a53\" tg-width=\"640\" tg-height=\"373\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Rates expectations measured by FFF(Author´s calculations via Tradingview)<blockquote>FFF衡量的利率预期（作者通过Tradingview计算）</blockquote>Thus, retail investors are fairly misled by inflation print and soft-landing. This scenario does not support the thesis of being bullish at current levels. However, for me, the very strong narrative stands behind the real yields and SPY. There is a very strong negative correlation among the variables, which the market fully ignored until Friday.<blockquote>因此，散户投资者被通胀数据和软着陆误导了。这种情况并不支持在当前水平看涨的论点。然而，对我来说，真实收益率和SPDR标普500指数ETF背后有着非常强有力的叙述。变量之间存在非常强的负相关性，直到周五市场才完全忽略了这一点。</blockquote><img src=\"https://static.tigerbbs.com/fed22002670360778cb46af429c3e6fd\" tg-width=\"767\" tg-height=\"468\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Real Yields vs. S&amp;P500(Bloomberg, Morgan Stanley Research)<blockquote>实际收益率与标准普尔500指数（彭博社、摩根士丹利研究）</blockquote>The key driver of the latest rally was short-covering<blockquote>最近一次反弹的关键驱动力是空头回补</blockquote>As many investors / traders followed the inflation print and saw a market rally, they massively closed their short positions or bets, which led to a significant rally from the bottom. That&#39;s the true reason why the market rallied in the previous weeks. And it only makes sense to me because macro fundamentals such as real yields and other leading indicators have all worsened, just hand in hand with a strong labor market. Despite the rise in real yields, the market rallied in recent weeks, their negative correlation deviated significantly from normal conditions, giving me no reason to be bullish from a macro perspective.<blockquote>由于许多投资者/交易者跟随通胀数据并看到市场反弹，他们大量平仓空头头寸或押注，这导致了从底部的大幅反弹。这才是前几周市场上涨的真正原因。这对我来说才有意义，因为实际收益率和其他领先指标等宏观基本面都在恶化，只是与强劲的劳动力市场齐头并进。尽管实际收益率上升，市场在最近几周反弹，但它们的负相关性明显偏离了正常情况，从宏观角度来看，我没有理由看涨。</blockquote>On the contrary, as I said, the rally was caused mainly by short covering (the closing of short position) and it was the 3rd most aggressive short-covering in the latest ten years.<blockquote>相反，正如我所说，反弹主要是由空头回补（空头头寸平仓）引起的，这是最近十年中第三次最激进的空头回补。</blockquote><img src=\"https://static.tigerbbs.com/4500679330262cedb633a0fba418e7ad\" tg-width=\"611\" tg-height=\"367\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Short covering / Short selling(GS Prime Book via Investro)<blockquote>空头回补/卖空（GS Prime Book via Investro）</blockquote>And also a great chart from @MacroCharts, which measures the sum of (QQQ) deltas, indicated that this massive rally was caused by a full switch of position. As there are monitored deltas for QQQ, I believe it will be similar for the S&amp;P 500 or SPY, because major stocks from QQQ are also integrated with significant weights in SPY. From the extremely short to the extremely long ones. For me, it is absolutely unsustainable to remain at such levels, and the rising probability of further downturn, combined with macro fundamentals, gives me quite strong confidence.<blockquote>@MacroCharts的一张很棒的图表测量了(QQQ)增量之和，表明这次大规模反弹是由头寸完全转换引起的。由于QQQ有受监控的增量，我相信标普500或SPDR标普500指数ETF的情况也会类似，因为QQQ的主要股票在SPDR标普500指数ETF也具有重要权重。从极短到极长。对我来说，维持在这样的水平是绝对不可持续的，而进一步下行的概率上升，结合宏观基本面，给了我相当强的信心。</blockquote><img src=\"https://static.tigerbbs.com/984923367a1ab56eb4804dde1f6a5a07\" tg-width=\"800\" tg-height=\"450\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Sum of QQQ Deltas(Charlie Mcelligott / Nomura via @MacroCharts)<blockquote>QQQ增量之和（Charlie Mcelligott/野村证券，来自@MacroCharts）</blockquote>Another very important measure, which I highly recommend, is to follow short sale volumes for SPY/QQQ and others. The chart below just implies there is a lack of shorts or very low activity in short selling, which is a great contrarian indicator. The 10-day moving average of short sale volume, measured by FINRA, indicates there is a lack of short sale volume, indicates the market is probably exhausted. It also confirms the thesis of short-covering rally in the previous weeks as well. Just look at the significant numbers of short selling in mid June, in hand with the market bottom. There should be no surprises about the following market squeeze or strong short-covering activity. Currently, I see a strong reversal situation, thus giving room for another leg down in SPY. However, I also could be wrong, but combined with the real yields narrative, the worsening economic situation, and the strong contrarian indicator of short sale volume, I am firmly convinced this was another bear market rally.<blockquote>我强烈推荐的另一个非常重要的措施是跟踪SPDR标普500指数ETF/QQQ和其他公司的卖空量。下图只是暗示缺乏空头或卖空活动非常低，这是一个很好的反向指标。FINRA测量的卖空量10天移动平均线表明卖空量不足，表明市场可能已经疲惫不堪。这也证实了前几周空头回补反弹的论点。只要看看六月中旬市场触底时大量卖空就知道了。接下来的市场挤压或强劲的空头回补活动应该不会令人意外。目前，我看到了强劲的逆转情况，从而为SPDR标普500指数ETF的另一次下跌提供了空间。然而，我也可能是错的，但结合实际收益率叙述、不断恶化的经济形势以及卖空量的强劲逆势指标，我坚信这是另一次熊市反弹。</blockquote>The Fed believes a soft landing is less likely than the market<blockquote>美联储认为软着陆的可能性低于市场</blockquote>The reason why I believe such a narrative is caused by FOMC members&#39; statements as well as by the data-driven approach. First of all, there are leading indicators that are screaming to us that inflation as well as economic growth will slow down. However, as previously stated, the YoY will slow, and the MoM will most likely stabilize. However, even if there is a 0% MoM change until the end of the year, inflation will still be significantly above the medium term horizon and above the fed&#39;s key target. With so strong numbers from the labor market, the fed can be calm to focus really on inflation and to tame it. The sacrifice would be economic growth. This is the reason why I believe rate hikes will continue until the fed sees a portion of lagging core CPI MoM moving around -0.2% to 0.1% in the medium term.<blockquote>我之所以相信这样的叙述，是由FOMC成员的声明以及数据驱动的方法造成的。首先，有领先指标向我们尖叫，通胀和经济增长都将放缓。然而，如前所述，同比将会放缓，而环比很可能会稳定下来。然而，即使年底前环比变化为0%，通胀仍将明显高于中期水平，也高于美联储的关键目标。由于劳动力市场数据如此强劲，美联储可以冷静地真正关注通胀并抑制通胀。牺牲的将是经济增长。这就是为什么我认为加息将持续下去，直到美联储看到部分滞后的核心CPI环比在中期内徘徊在-0.2%至0.1%左右。</blockquote>Now, let&#39;s summarize some of the latest statements from FOMC members.<blockquote>现在，让我们总结一下FOMC成员的一些最新表态。</blockquote>Fed&#39;s Bullard, according to Reuters:<blockquote>据路透社报道，美联储布拉德：</blockquote>St. Louis Fed President James Bullard, who was among the central bank&#39;s earliest advocates last year of a more muscular response to fast-building price pressures, said that given the strength of the economy he is currently leaning toward supporting a third straight 75-basis-point interest rate hike in September.Also, Mary Daly, president of the San Francisco Federal Reserve,stated earlier on Thursday that raising rates by 50 or 75 basis points at the fed&#39;s upcoming policy meeting on September 20-21 would be a &#34;reasonable&#34; way to raise short-term borrowing costs to slightly above 3% by the end of this year and put them on a path to a little bit higher in 2023.<blockquote>圣路易斯联储主席詹姆斯·布拉德(James Bullard)是美联储去年最早主张对快速上涨的物价压力做出更有力反应的人之一，他表示，鉴于经济实力，他目前倾向于支持连续第三次75个基点的加息。此外，旧金山联储主席Mary Daly周四早些时候表示，在美联储即将于9月20日至21日举行的政策会议上加息50或75个基点将是提高短期借贷成本的“合理”方式，到今年年底将略高于3%，并在2023年走上略高的道路。</blockquote>Also a kindly hawkish note from the Fed&#39;s Kashkari:<blockquote>美联储卡什卡利也发表了善意的鹰派言论：</blockquote>So the question right now is, can we bring inflation down without triggering a recession? And my answer to that question is: I don’t know. Fed has more work to do in raising interest rates to bring inflation down.Despite the better than expected inflation print, the fight is not over and there must be a clear indication of tightening conditions that will continue to bring inflation down. Until then, the market still hopes for a soft-landing as in 2019, but this is really different story. I&#39;m firmly convinced it will bring a bigger economic slowdown than the current one, but I don&#39;t know if it will be a big recession. Probably not. But it will be harder than soft-landing. Kashkari is one of the first FOMC members to admit that they are unsure whether it will cause the recession or not. They just can&#39;t tell you, &#34;for sure we will cause a recession.&#34; However, in the previous months, when the yield curve started to be inverted, the fed screamed that it was not an appropriate indicator of recession. The opposite is the truth.<blockquote>所以现在的问题是，我们能否在不引发衰退的情况下降低通胀？我对这个问题的回答是：我不知道。美联储在加息以降低通胀方面还有更多工作要做。尽管通胀数据好于预期，但斗争尚未结束，必须有明确的迹象表明紧缩条件将继续压低通胀。在此之前，市场仍然希望像2019年那样软着陆，但这确实是另一回事。我坚信它会带来比目前更大的经济放缓，但我不知道这是否会是一场大衰退。应该不会吧。但这将比软着陆更难。卡什卡利是首批承认他们不确定这是否会导致经济衰退的FOMC成员之一。他们只是不能告诉你，“我们肯定会导致衰退。”然而，在前几个月，当收益率曲线开始倒挂时，美联储尖叫称这不是一个合适的衰退指标。事实恰恰相反。</blockquote>However, the fed released its own indicator of forecasting recession, slightly different than the classic yield curve, which had not been inverted before. It is now fully inverted, which, according to previous fed papers, should clearly indicate a recession going forward. A great chart from@MacroAlfcalculated the development of this indicator, and as it was almost one month ago, it started to be inverted, thus confirming that the fed knows and is aware of the ongoing recession. Regardless of what they say. It was the only opinion as the yield curve started to be inverted that it was better to monitor the &#34;near-term spread,&#34; calculated as 18m forward 3m yields minus 3m yields, as it is a much more precise predictor of the upcoming recession.<blockquote>然而，美联储发布了自己预测衰退的指标，与经典的收益率曲线略有不同，后者此前并未出现倒挂。现在它已经完全倒挂，根据美联储之前的文件，这应该清楚地表明未来将出现衰退。@MacroAlf的一张很棒的图表计算了该指标的发展，就像大约一个月前一样，它开始倒挂，从而证实了美联储知道并意识到正在进行的衰退。不管他们怎么说。当收益率曲线开始倒挂时，唯一的观点是最好监控“近期利差”，计算为1800万远期300万收益率减去300万收益率，因为它是对即将到来的衰退的更精确的预测。</blockquote><img src=\"https://static.tigerbbs.com/aced83130fc7620517eccea36b9a2d28\" tg-width=\"952\" tg-height=\"650\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>Fed´s preferred yield curve indicator(@MacroAlf)<blockquote>美联储首选收益率曲线指标(@MacroAlf)</blockquote>Earnings are lagged, CPI too<blockquote>盈利滞后，CPI也滞后</blockquote>However, I&#39;m convinced that CPI will go down and the fed will tame inflation. The issue is that there will be an EPS drop as well. To tame inflation rapidly, it is necessary to cause an economic slowdown. However, it is happening right now, and many leading indicators are confirming this thesis. Companies are oversupplied (with inventories), commodity prices are falling, and PMI and new orders are dropping too. Oil is falling; however, natural gas recovered from the total drawdown seen in July. Nevertheless, the macro indicators tell me that inflation will calm down, but the fed needs to continue doing its job and focus on inflation. I also believe that it can cause a mild recession and then we could see slight rate cuts in 2023. The next chart shows the leading indicator - G5 Credit Impulse and its impact on S&amp;P 500 EPS as well as CPI YoY. Both are well lagged vs. their leading indicator, which leads by 4-5 quarters. This also supports our thesis, thus giving room for EPS decline as well as for CPI decline.<blockquote>然而，我相信消费者物价指数将会下降，美联储将抑制通胀。问题是每股收益也会下降。要迅速抑制通货膨胀，就必须造成经济放缓。然而，它正在发生，许多领先指标正在证实这一论点。企业供过于求（库存），大宗商品价格下跌，PMI和新订单也在下降。石油正在下跌；然而，天然气从7月份的总体下降中恢复过来。尽管如此，宏观指标告诉我，通胀将会平静下来，但美联储需要继续做好自己的工作，专注于通胀。我还认为，这可能会导致温和的衰退，然后我们可能会在2023年看到小幅降息。下图显示了领先指标——G5信贷冲动及其对标普500每股收益和CPI同比的影响。两者都远远落后于领先指标，领先指标领先4-5个季度。这也支持了我们的论点，从而为每股收益下降和CPI下降提供了空间。</blockquote><img src=\"https://static.tigerbbs.com/9f434d630603e9b6a62684bdcc200676\" tg-width=\"832\" tg-height=\"699\" referrerpolicy=\"no-referrer\"/><blockquote></blockquote>G5 Credit impluse as leading indicator(@MacroAlf)<blockquote>G5 Credit impluse作为领先指标(@MacroAlf)</blockquote>Risks and Summary<blockquote>风险及总结</blockquote>Let&#39;s start with the risk to our thesis. The first risk can be that I have wrongly detected another bear market rally and where a bull market started. I do not say we will find the new bottom. Currently, I&#39;m convinced that under current macro circumstances, followed by sale volumes and short-covering narrative, the market is overbought and should decline 5-15% from its current levels. The next risk to this thesis is that inflation will fall fast with a soft-landing. Although I see a little probability, it is still a kind of scenario. When inflation, mainly core inflation, drops significantly, it could cause the fed to stop the tightening cycle and, after 2-3 quarters, to ease conditions rapidly. And that&#39;s all without economic damage, with a strong labor market and slight economic growth. Currently, I&#39;m not convinced that is the case.<blockquote>让我们从论文的风险开始。第一个风险可能是我错误地发现了另一次熊市反弹以及牛市开始的地方。我不是说我们会找到新的底部。目前，我相信，在当前的宏观环境下，以及随后的销量和空头回补叙述，市场已超买，应该会比当前水平下跌5-15%。这篇论文的下一个风险是通胀将随着软着陆而快速下降。虽然我看到了一点概率，但它仍然是一种场景。当通胀（主要是核心通胀）大幅下降时，可能会导致美联储停止紧缩周期，并在2-3个季度后迅速放松条件。这一切都没有造成经济损失，劳动力市场强劲，经济略有增长。目前，我不相信情况是这样。</blockquote>In my opinion, the short scenario has significantly bigger odds right now for plenty of reasons: Real yields and the SPY correlation have significantly deteriorated and deviated, which is unsustainable in my opinion. Additionally, we saw that due to strong short-covering rally - the 3rd largest in the last 10 years. Next reason is that there is a lack of short sellers right now, which could indicate a short-term market peak. The market rally could be exhausted because there are no short sellers. The next indicator is the still and tireless statements from FOMC&#39;s members, which are still very hawkish, and the best case is to DO NOT FIGHT THE FED. The most recent narrative remains focused on inflation print. Very volatile figures and the most current ones as motor fuel, transportation, and others are down, but it depends on prices (on the market). However, the fed wants to see the most lagging parts as a shelter, services, and demand side inflation to cool down. It will take some time, and I believe we will see that. But also, it will have a negative impact on EPS. Also, I can be wrong, but these are the key reasons why I firmly believe that the market is exhausted (upwards) and a short-term rally downwards could continue.<blockquote>在我看来，目前空头情景的可能性要大得多，原因有很多：实际收益率和SPDR标普500指数ETF相关性显着恶化和偏离，我认为这是不可持续的。此外，我们看到，由于强劲的空头回补反弹——这是过去10年来的第三大反弹。下一个原因是目前缺乏卖空者，这可能预示着短期市场见顶。市场涨势可能会耗尽，因为没有卖空者。下一个指标是FOMC成员们仍然不厌其烦的声明，这些声明仍然非常鹰派，最好的情况是不要对抗美联储。最近的叙述仍然集中在通货膨胀打印。非常不稳定的数字和最新的数字，如汽车燃料、运输和其他下降，但这取决于（市场上的）价格。然而，美联储希望看到住房、服务业和需求侧通胀等最滞后的部分降温。这需要一些时间，我相信我们会看到这一点。但也会对每股收益产生负面影响。此外，我可能是错的，但这些是我坚信市场已经耗尽（向上）并且短期向下反弹可能会继续的关键原因。</blockquote></body></html><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://seekingalpha.com/article/4536168-spy-time-to-get-out-weak-short-sale-volumes-indicate-reversal\">Seeking Alpha</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":{"SPY":"标普500ETF"},"source_url":"https://seekingalpha.com/article/4536168-spy-time-to-get-out-weak-short-sale-volumes-indicate-reversal","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1113960584","content_text":"SummaryThe base effect was the fundamental reason why inflation had peaked. It will be challenging to stop the most lagged part of inflation.The markets don't realize that fed members are in full hawkish mode. Although the market is certain about a soft-landing, the fed indicator suggests a recession.Short-covering contributed to the latest bear market rally significantly. As there are very low short sales volumes right now, the reversion could be next.SPY significantly deviated from real yields (strong inverse correlation) and this exemption won't last long.The macroeconomic outlook could worsen with additional rate hikes, which is not supportive for EPS.In my most recent bond analysis, which focused on the iShares 20+ Year Treasury Bond ETF (TLT), inflation, and monetary outlook, we predicted that the YoY and MoM inflation peaks would both occur in the months of July - September. I wagered that commodity prices would decline and that other leading indicators would also dramatically deteriorate. However the Fed responds to the most lagging inflation parts, the CPI/PCE/core CPI report from July is not initially bullish. Lower commodities prices had a significant impact on the MoM's \"stabilization,\" but the most lagging drivers to the CPI - shelter and services are still quite high and are still increasing. The necessary items, which the Fed wants to stabilize, are not stabilizing.On first glance, the market rallied due to strong data from inflation prints, but in our breakdown, the data has not been strong at all. SPDR S&P 500 Trust ETF (NYSEARCA:SPY) deviated from the long-term inverse correlation between real yields and SPY's price mainly due to a \"strong fundamental week.\" However, I'm firmly convinced this was another bear market rally. Medium-term inflation expectations rose, which is not a good case for stocks. In summary, we can await more rate hikes to come, more than the market currently prices in.Inflation breakdownThe CPI's YoY growth was still high at 8.5% and rose in July by zero percent. However, the core CPI rose \"only\" by 0.2%, which was lower than the consensus. Nevertheless, if you make an inflation breakdown, you will see the drivers. Motor fuel (oil & gas) has contributed very negatively to the overall CPI monthly change. This item is the most current in the lagged CPI. However, the most lagging components of the CPI are housing, food prices, medical care services, and other services, and it will take some time for these inputs to stabilize or decline.CPI monthly change(@MacroAlf)As I stated in my previous analysis on TLT, the consumer destruction will take place in 2-3 months. The issue is that supply-side inflation (mainly oil, gas, and other commodities) can be impacted only indirectly - mainly by lowered demand. That is what we see in the commodity market right now. Industrial commodities and the ones that have a great impact on overall CPI started to decline. But it does not reflect only demand destruction but also the quite strong economic slowdown (forward-looking). I still believe inflation will go down, but mainly due to the strong base effect caused by the measured style-YoY comparison. The much more important figure will be core inflation on a monthly basis.Still, if inflation were to be zero on a monthly basis till the end of the year, it would still be at 6.5%, and if it were to be longer, it would be at 3.3% in March. Still significantly above the fed's medium-term target. I am confident that inflation will fall, and that we will see a significant slowdown in 4Q2022, but this must be accompanied by a continued reduction in consumption and GDP growth forecasts.Projecting CPI at Year-End(BLS, Cleveland Federal Reserve Nowcast)Outlook on the monetary policyI'm strongly convinced that inflation will go down on a YoY basis. On the other hand, I'm a little bit less convinced by the MoM point of view. To support this scenario, the fed will need to be very hawkish to convince the market that it will do so. Despite still having a very inverted yield curve, the market started to price in fewer rate cuts than anticipated 2-3 weeks ago. And this is all on the back of lower-than-expected inflation figures from a week ago. The spread between Fed funds futures rates in Dec 2022 and Dec 2023 is reaching less than -0.2, thus implying market expectations of almost only one rate cut till Dec 2023.Spread between FFF 12/2022 and 12/2023(Author´s calculation via Tradingview)Despite the fact that the market began slightly repeating the FOMC member's rhetoric, the stocks rallied significantly. It is because the market believed the narrative of \"soft-landing\" to be more probable than before inflation prints. However, the inflation fight is still not over. I consider this rally unsustainable and not supported by the macro fundamentals. After the inflation print, rates expectations measured by Fed funds futures rose quite significantly.Rates expectations measured by FFF(Author´s calculations via Tradingview)Thus, retail investors are fairly misled by inflation print and soft-landing. This scenario does not support the thesis of being bullish at current levels. However, for me, the very strong narrative stands behind the real yields and SPY. There is a very strong negative correlation among the variables, which the market fully ignored until Friday.Real Yields vs. S&P500(Bloomberg, Morgan Stanley Research)The key driver of the latest rally was short-coveringAs many investors / traders followed the inflation print and saw a market rally, they massively closed their short positions or bets, which led to a significant rally from the bottom. That's the true reason why the market rallied in the previous weeks. And it only makes sense to me because macro fundamentals such as real yields and other leading indicators have all worsened, just hand in hand with a strong labor market. Despite the rise in real yields, the market rallied in recent weeks, their negative correlation deviated significantly from normal conditions, giving me no reason to be bullish from a macro perspective.On the contrary, as I said, the rally was caused mainly by short covering (the closing of short position) and it was the 3rd most aggressive short-covering in the latest ten years.Short covering / Short selling(GS Prime Book via Investro)And also a great chart from @MacroCharts, which measures the sum of (QQQ) deltas, indicated that this massive rally was caused by a full switch of position. As there are monitored deltas for QQQ, I believe it will be similar for the S&P 500 or SPY, because major stocks from QQQ are also integrated with significant weights in SPY. From the extremely short to the extremely long ones. For me, it is absolutely unsustainable to remain at such levels, and the rising probability of further downturn, combined with macro fundamentals, gives me quite strong confidence.Sum of QQQ Deltas(Charlie Mcelligott / Nomura via @MacroCharts)Another very important measure, which I highly recommend, is to follow short sale volumes for SPY/QQQ and others. The chart below just implies there is a lack of shorts or very low activity in short selling, which is a great contrarian indicator. The 10-day moving average of short sale volume, measured by FINRA, indicates there is a lack of short sale volume, indicates the market is probably exhausted. It also confirms the thesis of short-covering rally in the previous weeks as well. Just look at the significant numbers of short selling in mid June, in hand with the market bottom. There should be no surprises about the following market squeeze or strong short-covering activity. Currently, I see a strong reversal situation, thus giving room for another leg down in SPY. However, I also could be wrong, but combined with the real yields narrative, the worsening economic situation, and the strong contrarian indicator of short sale volume, I am firmly convinced this was another bear market rally.The Fed believes a soft landing is less likely than the marketThe reason why I believe such a narrative is caused by FOMC members' statements as well as by the data-driven approach. First of all, there are leading indicators that are screaming to us that inflation as well as economic growth will slow down. However, as previously stated, the YoY will slow, and the MoM will most likely stabilize. However, even if there is a 0% MoM change until the end of the year, inflation will still be significantly above the medium term horizon and above the fed's key target. With so strong numbers from the labor market, the fed can be calm to focus really on inflation and to tame it. The sacrifice would be economic growth. This is the reason why I believe rate hikes will continue until the fed sees a portion of lagging core CPI MoM moving around -0.2% to 0.1% in the medium term.Now, let's summarize some of the latest statements from FOMC members.Fed's Bullard, according to Reuters:St. Louis Fed President James Bullard, who was among the central bank's earliest advocates last year of a more muscular response to fast-building price pressures, said that given the strength of the economy he is currently leaning toward supporting a third straight 75-basis-point interest rate hike in September.Also, Mary Daly, president of the San Francisco Federal Reserve,stated earlier on Thursday that raising rates by 50 or 75 basis points at the fed's upcoming policy meeting on September 20-21 would be a \"reasonable\" way to raise short-term borrowing costs to slightly above 3% by the end of this year and put them on a path to a little bit higher in 2023.Also a kindly hawkish note from the Fed's Kashkari:So the question right now is, can we bring inflation down without triggering a recession? And my answer to that question is: I don’t know. Fed has more work to do in raising interest rates to bring inflation down.Despite the better than expected inflation print, the fight is not over and there must be a clear indication of tightening conditions that will continue to bring inflation down. Until then, the market still hopes for a soft-landing as in 2019, but this is really different story. I'm firmly convinced it will bring a bigger economic slowdown than the current one, but I don't know if it will be a big recession. Probably not. But it will be harder than soft-landing. Kashkari is one of the first FOMC members to admit that they are unsure whether it will cause the recession or not. They just can't tell you, \"for sure we will cause a recession.\" However, in the previous months, when the yield curve started to be inverted, the fed screamed that it was not an appropriate indicator of recession. The opposite is the truth.However, the fed released its own indicator of forecasting recession, slightly different than the classic yield curve, which had not been inverted before. It is now fully inverted, which, according to previous fed papers, should clearly indicate a recession going forward. A great chart from@MacroAlfcalculated the development of this indicator, and as it was almost one month ago, it started to be inverted, thus confirming that the fed knows and is aware of the ongoing recession. Regardless of what they say. It was the only opinion as the yield curve started to be inverted that it was better to monitor the \"near-term spread,\" calculated as 18m forward 3m yields minus 3m yields, as it is a much more precise predictor of the upcoming recession.Fed´s preferred yield curve indicator(@MacroAlf)Earnings are lagged, CPI tooHowever, I'm convinced that CPI will go down and the fed will tame inflation. The issue is that there will be an EPS drop as well. To tame inflation rapidly, it is necessary to cause an economic slowdown. However, it is happening right now, and many leading indicators are confirming this thesis. Companies are oversupplied (with inventories), commodity prices are falling, and PMI and new orders are dropping too. Oil is falling; however, natural gas recovered from the total drawdown seen in July. Nevertheless, the macro indicators tell me that inflation will calm down, but the fed needs to continue doing its job and focus on inflation. I also believe that it can cause a mild recession and then we could see slight rate cuts in 2023. The next chart shows the leading indicator - G5 Credit Impulse and its impact on S&P 500 EPS as well as CPI YoY. Both are well lagged vs. their leading indicator, which leads by 4-5 quarters. This also supports our thesis, thus giving room for EPS decline as well as for CPI decline.G5 Credit impluse as leading indicator(@MacroAlf)Risks and SummaryLet's start with the risk to our thesis. The first risk can be that I have wrongly detected another bear market rally and where a bull market started. I do not say we will find the new bottom. Currently, I'm convinced that under current macro circumstances, followed by sale volumes and short-covering narrative, the market is overbought and should decline 5-15% from its current levels. The next risk to this thesis is that inflation will fall fast with a soft-landing. Although I see a little probability, it is still a kind of scenario. When inflation, mainly core inflation, drops significantly, it could cause the fed to stop the tightening cycle and, after 2-3 quarters, to ease conditions rapidly. And that's all without economic damage, with a strong labor market and slight economic growth. Currently, I'm not convinced that is the case.In my opinion, the short scenario has significantly bigger odds right now for plenty of reasons: Real yields and the SPY correlation have significantly deteriorated and deviated, which is unsustainable in my opinion. Additionally, we saw that due to strong short-covering rally - the 3rd largest in the last 10 years. Next reason is that there is a lack of short sellers right now, which could indicate a short-term market peak. The market rally could be exhausted because there are no short sellers. The next indicator is the still and tireless statements from FOMC's members, which are still very hawkish, and the best case is to DO NOT FIGHT THE FED. The most recent narrative remains focused on inflation print. Very volatile figures and the most current ones as motor fuel, transportation, and others are down, but it depends on prices (on the market). However, the fed wants to see the most lagging parts as a shelter, services, and demand side inflation to cool down. It will take some time, and I believe we will see that. But also, it will have a negative impact on EPS. Also, I can be wrong, but these are the key reasons why I firmly believe that the market is exhausted (upwards) and a short-term rally downwards could continue.","news_type":1,"symbols_score_info":{"SPY":0.9}},"isVote":1,"tweetType":1,"viewCount":5053,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"CN","currentLanguage":"CN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":36,"xxTargetLangEnum":"ZH_CN"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/687439728"}