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23Nov Macro Journal : Month end equity sell flows for rebalancing could create short term volatility before a Santa Claus rally.

23Nov Macro Journal : Month end equity sell flows for rebalancing could create short term volatility before a Santa Claus rally.

*Goldilocks rally in equities into yearend remains very likely BUT month end rebalancing flows in short term could cause some volatility.
*Tactically – a selloff in US equities in the coming days could present an entry opportunity for tactical long risk plays into December.
*Medium term – we highlight a number of key charts which we use to inform our view of bubble formation in US tech / growth equities along with our 2021 theme of rotation to inflation and out performance of value stocks.

16Nov Macro Journal : “Sequencing” of themes creates short term noise, but a near-term “Goldilocks” equity rally increasingly possible.

16Nov Macro Journal : “Sequencing” of themes creates short term noise, but a near-term “Goldilocks” equity rally increasingly possible.

*Churn and chop in market dominates as the investors work through the issues of sequencing of themes
*Increasingly we wonder if the weak side for equities into year end is higher, with FX trapped in choppy ranges
*If US rates – using the 10year as a proxy – remain rangebound in 0.7/1.0 % zone – could generate a “Goldilocks” scenario for a meltup in equities

12Nov Macro Journal : Vol crush continues but looks overdone, as USD short positioning can come under strain

12Nov Macro Journal : Vol crush continues but looks overdone, as USD short positioning can come under strain

*As the implications of the scale of the growth – value rotation on momentum portfolios become clearer, implied volatility has been sold off.
*As the vaccine optimism is priced in, the long winter ahead means timing will be critical over the coming weeks; we continue to see volatility ahead
*Position reduction in equities has yet to begin in earnest; we view the large USD short positions as ripe for stress especially if aligned with a tick up in vols off such low bases.

11Nov Macro Journal : As growth-value rotation persists, the importance of zero rates to sustain growth outperformance cannot be overstated.

11Nov Macro Journal : As growth-value rotation persists, the importance of zero rates to sustain growth outperformance cannot be overstated.

*The move higher in US backend rates is echoed globally with UK and German 10 year yields also up around 20bps since vaccine announcement.
*This has implications for business models that rely on low rates / costs of capital to survive – ie Tech.
*We view FX vol as underpriced for the potential for USD strength, hence the balance of long USD call vol plays on the RadarScreen.

09Nov Macro Journal : As US indices test all time highs, narratives remain spurious; we maintain our theme of “Autumn Volatility”

09Nov Macro Journal : As US indices test all time highs, narratives remain spurious; we maintain our theme of “Autumn Volatility”

*As US equities close in on all time highs, we reflect on the importance of belief that events can always be mitigated through official interventions.
*The issue of fitting narratives to price action is creating a situation of euphoria where volatility is sold post events no matter what the underlying result.
*We maintain our theme of Autumnal Volatility, and list key unresolved events we believe the market is underpricing.

03Nov Macro Journal : Whilst US election will bring short term volatility, the bounce in Oil hints at longer term themes of higher inflation

03Nov Macro Journal : Whilst US election will bring short term volatility, the bounce in Oil hints at longer term themes of higher inflation

*US election day brings a multitude of short term volatility, but we continue to look beyond to the prospect for inflation.
*The strength in Oil off the lows has been on our Radar for a some time now as a core theme for 2021.
*US yields are coiling for a potential move higher – we have expressed this through USDJPY, but look to TLT too for potential plays in the election volatility.

30Oct20 Macro Journal : Tech earnings beat but position reduction drives weakness across assets; volatility is NOT going away

30Oct20 Macro Journal : Tech earnings beat but position reduction drives weakness across assets; volatility is NOT going away

*Liquidation remains in force even allowing for more intraday volatility

*Big Cap tech earnings beat but concerns over future prospects drive more weakness. The market is looking for reasons to take risk off, and not put it on.

*ECB punted the decision for future action to the December meeting, but there was more prominent mentions of EUR strength. We continue to view EURUSD lower via owning mid dated puts as a core holding on the RadarScreen – initial targets remains 1.1500/50.

28Oct20 Macro Journal : USDMXN basing indicates rotation to USD strength as volatility increases across asset classes.

28Oct20 Macro Journal : USDMXN basing indicates rotation to USD strength as volatility increases across asset classes.

*USD starting to rally as European stocks break down with volatility ticking higher.
*USDMXN forming the “double bottom” we view as being critical for the overall USD sentiment, whilst USDCNH grinds higher.
*We look at opportunities in other pairs – AUDUSD, Silver, and also highlight the corelation between USDTRY and… Bitcoin!

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