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2021-09-27
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The Key Market Flows Behind "Yet Another Quick Selloff"<blockquote>“又一次快速抛售”背后的关键市场流动</blockquote>
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In that context, the selloff this week was fairly typical.</p><p><blockquote>此外，美国股市历史上平均每2-3个月就会出现3-5%的适度抛售。在这种背景下，本周的抛售相当典型。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/b8d0322cdbd5964d73d41e06f9442bc5\" tg-width=\"715\" tg-height=\"439\" width=\"100%\" height=\"auto\">We have yet to see a more substantive selloff (5%+) since October of last year - although we did very briefly see a 5% drawdown last Monday which however faded just as quickly - putting the duration (92nd percentile) as well as the size (93rd percentile) of this rally in the top decile.</p><p><blockquote>自去年 10 月以来，我们还没有看到更实质性的抛售（5%+）——尽管上周一我们确实短暂地看到了 5% 的回撤，但这种回撤很快就消失了——这使得持续时间（第 92 个百分位）以及规模（第 93 个百分位）这次反弹在前十分位数。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/07808349bc1c947e2b8979580a8fb1d3\" tg-width=\"715\" tg-height=\"440\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> Courtesy of Deutsche Bank, here are some notable positioning indicators:</p><p><blockquote>由德意志银行提供，以下是一些值得注意的定位指标：</blockquote></p><p> <ul> <li>The consolidated measure of equity positioning has been falling since late June (from the 97th to the 60th percentile).</li> </ul> <img src=\"https://static.tigerbbs.com/fc5409902ab031112610e740c463310f\" tg-width=\"716\" tg-height=\"497\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>自 6 月下旬以来，股票定位的综合指标一直在下降（从第 97 个百分位下降到第 60 个百分位）。</li></ul></blockquote></p><p> <ul> <li>Both discretionary investors (72nd percentile) and systematic strategies (46th percentile) have cut exposure, with discretionary positioning now at the lowest since the post-election rally, while systematic positioning is at the lowest since May.</li> </ul> <img src=\"https://static.tigerbbs.com/062b1dfad5071932dc62be98dc2ede14\" tg-width=\"720\" tg-height=\"444\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>全权投资（第 72 个百分位）和系统策略（第 46 个百分位）都削减了敞口，全权投资目前处于选举后反弹以来的最低水平，而系统投资则处于 5 月份以来的最低水平。</li></ul></blockquote></p><p> <ul> <li>However, there is a divergence between equity positioning for US large caps (read giga tech names), which has remained very robust, and that for others which has declined.</li> </ul> <img src=\"https://static.tigerbbs.com/4810651a60242469ed4cf58f8516a691\" tg-width=\"790\" tg-height=\"510\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>然而，美国大盘股（即巨型科技股）的股票定位仍然非常强劲，而其他公司的股票定位则有所下降，这两者之间存在差异。</li></ul></blockquote></p><p> <ul> <li>A subset of positioning indicators specifically tracking large-caps has remained at the higher end since mid-July even as our aggregate measure has steadily moved lower.</li> </ul> <img src=\"https://static.tigerbbs.com/25d112a2b929e2bdc669b578eb7d7761\" tg-width=\"702\" tg-height=\"478\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>尽管我们的总体指标稳步走低，但专门跟踪大盘股的定位指标子集自 7 月中旬以来一直处于较高水平。</li></ul></blockquote></p><p> <ul> <li>Equity inflows had been extremely strong going into the selloff, clocking in at over $50bn last week, the largest since March, and primarily benefiting US large caps.<b>A significant proportion of last week’s huge flows then reversed over Friday (-$20bn) and Monday (-$16bn) but inflows have resumed since.</b></li> </ul> <img src=\"https://static.tigerbbs.com/2e30c49e651aaf46c7955fae8b8e37b2\" tg-width=\"716\" tg-height=\"494\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>在抛售过程中，股票流入非常强劲，上周超过 500 亿美元，为 3 月份以来最大，主要使美国大盘股受益。<b>上周的巨额资金流入中有很大一部分在周五（-200亿美元）和周一（-160亿美元）逆转，但此后资金流入又恢复了。</b></li></ul></blockquote></p><p> <ul> <li>Here, it's worth noting that most inflows have benefited almost exclusively large cap US funds, with mid caps hugging the flatline for the last year, and small caps barely higher.</li> </ul> <img src=\"https://static.tigerbbs.com/058373c7243667db0d134e4c6faf296d\" tg-width=\"708\" tg-height=\"446\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>在这里，值得注意的是，大多数资金流入几乎完全有利于美国大盘股基金，中盘股去年持平，而小盘股几乎没有上升。</li></ul></blockquote></p><p> <ul> <li>The aggregate put/call volume ratio rose sharply on Monday as equities sold off, but over the week quickly fell back again into the low range that it has been in since last June. Both put and call volumes had spiked on Monday, but have normalized quickly.</li> </ul> <img src=\"https://static.tigerbbs.com/bc1f2723cbb99da006669d0e2189c251\" tg-width=\"702\" tg-height=\"491\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>周一，随着股票抛售，看跌期权/看涨期权总交易量比率大幅上升，但在一周内迅速回落至去年6月以来的低位区间。周一看跌期权和看涨期权交易量均飙升，但很快恢复正常。</li></ul></blockquote></p><p> <ul> <li>Most of the pickup in option volumes came from index and ETF options.</li> </ul> <img src=\"https://static.tigerbbs.com/3eaa498a2c54b5e23a1fa719adff660b\" tg-width=\"704\" tg-height=\"488\" width=\"100%\" height=\"auto\">Within single stocks, puts and calls volumes fell last week across both large and small caps.</p><p><blockquote><ul><li>期权交易量的大部分增长来自指数和 ETF 期权。</li></ul>在个股中，上周大盘股和小盘股的看跌期权和评级交易量均有所下降。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/c4b55fba2921fdd038d65f881f2ca96c\" tg-width=\"705\" tg-height=\"461\" width=\"100%\" height=\"auto\">Vol Control funds, which had already cut their equity allocations (mostly large-cap) last Friday (67% to 65%), accelerated their selling on Monday (to 62%, 27th percentile),<b>but quickly started buying back over the next three days, and their allocations are now back to 67% (43rd percentile).</b>A spike and subsequent reversal in implied vol was the primary driver of the round.</p><p><blockquote>Vol Control funds 上周五已经削减了股票配置（主要是大盘股）（67% 至 65%），周一加速了抛售（至 62%，第 27 个百分位），<b>但在接下来的三天里很快开始回购，他们的配置现在回到了67%（第43个百分位数）。</b>隐含体积的峰值和随后的逆转是这一轮的主要驱动因素。</blockquote></p><p></p><p> <img src=\"https://static.tigerbbs.com/db12494a8a53ab64efcfd8fcd833270a\" tg-width=\"716\" tg-height=\"485\" width=\"100%\" height=\"auto\">Meanwhile, Risk Parity funds trimmed their equity allocations only marginally during this week.</p><p><blockquote>与此同时，风险平价基金本周仅小幅削减了股票配置。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/a6232ad0c5ab683a3a3a38e821e4a9f0\" tg-width=\"708\" tg-height=\"486\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> Curiously, large cap trend signals remain strong and small cap signals actually improved slightly during the week.</p><p><blockquote>奇怪的是，大盘股趋势信号仍然强劲，而小盘股信号实际上在本周略有改善。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/28d11f882adaf5e29a8d2599e98a0523\" tg-width=\"728\" tg-height=\"509\" width=\"100%\" height=\"auto\">One final observation: with Q3 earnings season coming on deck, some 25% of companies have now entered their buyback blackout period. This will peak in 2-3 weeks when 80% of companies will be in their blackout period.</p><p><blockquote>最后一点观察：随着第三季度财报季的到来，约 25% 的公司现已进入回购禁售期。这将在 2-3 周内达到顶峰，届时 80% 的公司将处于停工期。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/5f56cfa38da150b0376a86c7605abdc2\" tg-width=\"728\" tg-height=\"488\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p></p>","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>The Key Market Flows Behind \"Yet Another Quick Selloff\"<blockquote>“又一次快速抛售”背后的关键市场流动</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\">\nThe Key Market Flows Behind \"Yet Another Quick Selloff\"<blockquote>“又一次快速抛售”背后的关键市场流动</blockquote>\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">zerohedge</strong><span class=\"h-time small\">2021-09-27 13:27</span>\n</p>\n</h4>\n</header>\n<article>\n<p>As has been the case for much of the past 6 months, equities saw another modest selloff (-4%) around the option expiry date similar to those in recent months (2-3% selloffs in the last 3 months), albeit exacerbated this time by fears around an Evergrande default.</p><p><blockquote>与过去 6 个月的大部分时间一样，股市在期权到期日前后再次出现小幅抛售 (-4%)，类似于最近几个月的情况（过去 3 个月抛售 2-3%），尽管这次因对恒大违约的担忧而加剧。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/9acc3c994da5ffff31bbfa42a5f8f9a8\" tg-width=\"716\" tg-height=\"477\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> Similar to the previous occasions, equities rebounded almost instantly as market technicals took over (as discussed in \"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\") with the 50DMA proving once again to be stalwart support, and are now barely 2% below record highs.</p><p><blockquote>与之前的情况类似，随着市场技术面的接管，股市几乎立即反弹（正如“野村证券揭示了市场从抛售逆转为“大反弹”时需要了解的‘流程’”中所讨论的那样），50DMA 再次被证明是坚实的支撑，现在仅比历史高点低 2%。</blockquote></p><p> Moreover, US equities have historically seen modest sell-offs of 3-5% every 2-3 months on average. In that context, the selloff this week was fairly typical.</p><p><blockquote>此外，美国股市历史上平均每2-3个月就会出现3-5%的适度抛售。在这种背景下，本周的抛售相当典型。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/b8d0322cdbd5964d73d41e06f9442bc5\" tg-width=\"715\" tg-height=\"439\" width=\"100%\" height=\"auto\">We have yet to see a more substantive selloff (5%+) since October of last year - although we did very briefly see a 5% drawdown last Monday which however faded just as quickly - putting the duration (92nd percentile) as well as the size (93rd percentile) of this rally in the top decile.</p><p><blockquote>自去年 10 月以来，我们还没有看到更实质性的抛售（5%+）——尽管上周一我们确实短暂地看到了 5% 的回撤，但这种回撤很快就消失了——这使得持续时间（第 92 个百分位）以及规模（第 93 个百分位）这次反弹在前十分位数。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/07808349bc1c947e2b8979580a8fb1d3\" tg-width=\"715\" tg-height=\"440\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> Courtesy of Deutsche Bank, here are some notable positioning indicators:</p><p><blockquote>由德意志银行提供，以下是一些值得注意的定位指标：</blockquote></p><p> <ul> <li>The consolidated measure of equity positioning has been falling since late June (from the 97th to the 60th percentile).</li> </ul> <img src=\"https://static.tigerbbs.com/fc5409902ab031112610e740c463310f\" tg-width=\"716\" tg-height=\"497\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>自 6 月下旬以来，股票定位的综合指标一直在下降（从第 97 个百分位下降到第 60 个百分位）。</li></ul></blockquote></p><p> <ul> <li>Both discretionary investors (72nd percentile) and systematic strategies (46th percentile) have cut exposure, with discretionary positioning now at the lowest since the post-election rally, while systematic positioning is at the lowest since May.</li> </ul> <img src=\"https://static.tigerbbs.com/062b1dfad5071932dc62be98dc2ede14\" tg-width=\"720\" tg-height=\"444\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>全权投资（第 72 个百分位）和系统策略（第 46 个百分位）都削减了敞口，全权投资目前处于选举后反弹以来的最低水平，而系统投资则处于 5 月份以来的最低水平。</li></ul></blockquote></p><p> <ul> <li>However, there is a divergence between equity positioning for US large caps (read giga tech names), which has remained very robust, and that for others which has declined.</li> </ul> <img src=\"https://static.tigerbbs.com/4810651a60242469ed4cf58f8516a691\" tg-width=\"790\" tg-height=\"510\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>然而，美国大盘股（即巨型科技股）的股票定位仍然非常强劲，而其他公司的股票定位则有所下降，这两者之间存在差异。</li></ul></blockquote></p><p> <ul> <li>A subset of positioning indicators specifically tracking large-caps has remained at the higher end since mid-July even as our aggregate measure has steadily moved lower.</li> </ul> <img src=\"https://static.tigerbbs.com/25d112a2b929e2bdc669b578eb7d7761\" tg-width=\"702\" tg-height=\"478\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>尽管我们的总体指标稳步走低，但专门跟踪大盘股的定位指标子集自 7 月中旬以来一直处于较高水平。</li></ul></blockquote></p><p> <ul> <li>Equity inflows had been extremely strong going into the selloff, clocking in at over $50bn last week, the largest since March, and primarily benefiting US large caps.<b>A significant proportion of last week’s huge flows then reversed over Friday (-$20bn) and Monday (-$16bn) but inflows have resumed since.</b></li> </ul> <img src=\"https://static.tigerbbs.com/2e30c49e651aaf46c7955fae8b8e37b2\" tg-width=\"716\" tg-height=\"494\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>在抛售过程中，股票流入非常强劲，上周超过 500 亿美元，为 3 月份以来最大，主要使美国大盘股受益。<b>上周的巨额资金流入中有很大一部分在周五（-200亿美元）和周一（-160亿美元）逆转，但此后资金流入又恢复了。</b></li></ul></blockquote></p><p> <ul> <li>Here, it's worth noting that most inflows have benefited almost exclusively large cap US funds, with mid caps hugging the flatline for the last year, and small caps barely higher.</li> </ul> <img src=\"https://static.tigerbbs.com/058373c7243667db0d134e4c6faf296d\" tg-width=\"708\" tg-height=\"446\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>在这里，值得注意的是，大多数资金流入几乎完全有利于美国大盘股基金，中盘股去年持平，而小盘股几乎没有上升。</li></ul></blockquote></p><p> <ul> <li>The aggregate put/call volume ratio rose sharply on Monday as equities sold off, but over the week quickly fell back again into the low range that it has been in since last June. Both put and call volumes had spiked on Monday, but have normalized quickly.</li> </ul> <img src=\"https://static.tigerbbs.com/bc1f2723cbb99da006669d0e2189c251\" tg-width=\"702\" tg-height=\"491\" width=\"100%\" height=\"auto\"></p><p><blockquote><ul><li>周一，随着股票抛售，看跌期权/看涨期权总交易量比率大幅上升，但在一周内迅速回落至去年6月以来的低位区间。周一看跌期权和看涨期权交易量均飙升，但很快恢复正常。</li></ul></blockquote></p><p> <ul> <li>Most of the pickup in option volumes came from index and ETF options.</li> </ul> <img src=\"https://static.tigerbbs.com/3eaa498a2c54b5e23a1fa719adff660b\" tg-width=\"704\" tg-height=\"488\" width=\"100%\" height=\"auto\">Within single stocks, puts and calls volumes fell last week across both large and small caps.</p><p><blockquote><ul><li>期权交易量的大部分增长来自指数和 ETF 期权。</li></ul>在个股中，上周大盘股和小盘股的看跌期权和评级交易量均有所下降。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/c4b55fba2921fdd038d65f881f2ca96c\" tg-width=\"705\" tg-height=\"461\" width=\"100%\" height=\"auto\">Vol Control funds, which had already cut their equity allocations (mostly large-cap) last Friday (67% to 65%), accelerated their selling on Monday (to 62%, 27th percentile),<b>but quickly started buying back over the next three days, and their allocations are now back to 67% (43rd percentile).</b>A spike and subsequent reversal in implied vol was the primary driver of the round.</p><p><blockquote>Vol Control funds 上周五已经削减了股票配置（主要是大盘股）（67% 至 65%），周一加速了抛售（至 62%，第 27 个百分位），<b>但在接下来的三天里很快开始回购，他们的配置现在回到了67%（第43个百分位数）。</b>隐含体积的峰值和随后的逆转是这一轮的主要驱动因素。</blockquote></p><p></p><p> <img src=\"https://static.tigerbbs.com/db12494a8a53ab64efcfd8fcd833270a\" tg-width=\"716\" tg-height=\"485\" width=\"100%\" height=\"auto\">Meanwhile, Risk Parity funds trimmed their equity allocations only marginally during this week.</p><p><blockquote>与此同时，风险平价基金本周仅小幅削减了股票配置。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/a6232ad0c5ab683a3a3a38e821e4a9f0\" tg-width=\"708\" tg-height=\"486\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> Curiously, large cap trend signals remain strong and small cap signals actually improved slightly during the week.</p><p><blockquote>奇怪的是，大盘股趋势信号仍然强劲，而小盘股信号实际上在本周略有改善。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/28d11f882adaf5e29a8d2599e98a0523\" tg-width=\"728\" tg-height=\"509\" width=\"100%\" height=\"auto\">One final observation: with Q3 earnings season coming on deck, some 25% of companies have now entered their buyback blackout period. This will peak in 2-3 weeks when 80% of companies will be in their blackout period.</p><p><blockquote>最后一点观察：随着第三季度财报季的到来，约 25% 的公司现已进入回购禁售期。这将在 2-3 周内达到顶峰，届时 80% 的公司将处于停工期。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/5f56cfa38da150b0376a86c7605abdc2\" tg-width=\"728\" tg-height=\"488\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p></p>\n<div class=\"bt-text\">\n\n\n<p> 来源：<a href=\"https://www.zerohedge.com/markets/key-market-flows-behind-another-quick-selloff\">zerohedge</a></p>\n<p>为提升您的阅读体验，我们对本页面进行了排版优化</p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{"SPY":"标普500ETF",".IXIC":"NASDAQ Composite",".DJI":"道琼斯",".SPX":"S&P 500 Index"},"source_url":"https://www.zerohedge.com/markets/key-market-flows-behind-another-quick-selloff","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1191104956","content_text":"As has been the case for much of the past 6 months, equities saw another modest selloff (-4%) around the option expiry date similar to those in recent months (2-3% selloffs in the last 3 months), albeit exacerbated this time by fears around an Evergrande default.\n\nSimilar to the previous occasions, equities rebounded almost instantly as market technicals took over (as discussed in \"Nomura Reveals 'The Flow To Know' As Markets Reverse From Selling To \"Big Rally\") with the 50DMA proving once again to be stalwart support, and are now barely 2% below record highs.\nMoreover, US equities have historically seen modest sell-offs of 3-5% every 2-3 months on average. In that context, the selloff this week was fairly typical.\nWe have yet to see a more substantive selloff (5%+) since October of last year - although we did very briefly see a 5% drawdown last Monday which however faded just as quickly - putting the duration (92nd percentile) as well as the size (93rd percentile) of this rally in the top decile.\n\nCourtesy of Deutsche Bank, here are some notable positioning indicators:\n\nThe consolidated measure of equity positioning has been falling since late June (from the 97th to the 60th percentile).\n\n\n\nBoth discretionary investors (72nd percentile) and systematic strategies (46th percentile) have cut exposure, with discretionary positioning now at the lowest since the post-election rally, while systematic positioning is at the lowest since May.\n\n\n\nHowever, there is a divergence between equity positioning for US large caps (read giga tech names), which has remained very robust, and that for others which has declined.\n\n\n\nA subset of positioning indicators specifically tracking large-caps has remained at the higher end since mid-July even as our aggregate measure has steadily moved lower.\n\n\n\nEquity inflows had been extremely strong going into the selloff, clocking in at over $50bn last week, the largest since March, and primarily benefiting US large caps.A significant proportion of last week’s huge flows then reversed over Friday (-$20bn) and Monday (-$16bn) but inflows have resumed since.\n\n\n\nHere, it's worth noting that most inflows have benefited almost exclusively large cap US funds, with mid caps hugging the flatline for the last year, and small caps barely higher.\n\n\n\nThe aggregate put/call volume ratio rose sharply on Monday as equities sold off, but over the week quickly fell back again into the low range that it has been in since last June. Both put and call volumes had spiked on Monday, but have normalized quickly.\n\n\n\nMost of the pickup in option volumes came from index and ETF options.\n\nWithin single stocks, puts and calls volumes fell last week across both large and small caps.\nVol Control funds, which had already cut their equity allocations (mostly large-cap) last Friday (67% to 65%), accelerated their selling on Monday (to 62%, 27th percentile),but quickly started buying back over the next three days, and their allocations are now back to 67% (43rd percentile).A spike and subsequent reversal in implied vol was the primary driver of the round.\nMeanwhile, Risk Parity funds trimmed their equity allocations only marginally during this week.\n\nCuriously, large cap trend signals remain strong and small cap signals actually improved slightly during the week.\nOne final observation: with Q3 earnings season coming on deck, some 25% of companies have now entered their buyback blackout period. This will peak in 2-3 weeks when 80% of companies will be in their blackout period.","news_type":1,"symbols_score_info":{".DJI":0.9,".SPX":0.9,"SPY":0.9,".IXIC":0.9}},"isVote":1,"tweetType":1,"viewCount":1223,"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":4,"subscribersOnly":false,"subscribersOnlyAccessible":false,"xxTargetLangEnum":"ZH_CN"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/866969411"}
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