Macro Ops: Unparalleled Investing Research

Summary: Funds have de-risked further, but gross remains elevated and retail still has its finger on the bid. Our Trend Fragility indicator is still neutral, with September’s sell signal intact. Total index put/calls haven’t spiked, so there’s still no sign of a capitulatory low. Credit is a mess and flashing anomalies, while the SPX sits in a rare compressi...

Welcome to Episode 46 of Vol Street Journal!

This week’s episode digs into a spooky Friday, when the volatility market reawakened after a calm week, and how realized vol, correlations, and market mechanics shifted into the weekend.

Topics covered:

A portfolio manager rushes to his desk. Three screens light up in front of him. Only one shows his capital at risk.

The screen on his left reflects his perceived demands: professional obligations, status signals, the expectations of others. Fixed there, he isn’t managing his portfolio. He’s playing a character in someone else’s script.

The screen on his r...

Summary: There’s some blood in the streets now, but is it enough? Hedge funds have netted down hard. Net positioning is in the 0th percentile across multiple lookbacks, though gross exposure remains elevated. The bigger worry is retail, which keeps buying the dip while holding record equity allocations. On the plus side, breadth improved last week even as th...

Welcome to Episode 45 of Vol Street Journal!

This week’s episode introduces some new tools I’ve been building along with a review of all the regulars. We’ve got a very flat VIX futures curve as the NASDAQ leads equities lower, but I still think there are better ways to play a selloff than by getting long vol.

Topics covered:
-HRV and EWS models: both...