Big (small) cap pain

Russell hitting huge levels

Russell hitting the 21 day moving average and the trend line that has been in place since October lows. RSI has gone from extremely overbought to the least overbought since mid November.

Source: Refinitiv

Small cap fear

Russell "fear", RVX, is spiking today again, trading at the highest levels since late October. The gap vs VIX is huge...

Source: Refinitiv

Recall Russell mania?

Just a gentle reminder of the IWM call mania from around mid December.

Source: GS

Fading RSI

SPX is down to trend channel lows. The 21 day comes in some 20 points lower. Further fading RSI is not a great sign...

Source: Refinitiv

One way

CTAs are sensitive to downside risks in equities. Latest 1 month projections via GS.

Source: GS

VVIX chilling

We have seen volatilities pick up rapidly, but note the VVIX is in a rather "chilled" mode.

Source: Refinitiv

The VIX short

Dealers are still running relatively big VIX shorts. Nomura's McElligott: "The “perpetual hedging budget” of the VIX Call Buyer is still burning prem and lugging a ton of Feb VIX Upside which has Dealers Short, and still then risking “accelerant flows” on any Vol squeeze catalyst". 

Source: Nomura

The dormant bid

1. Approximately 70% of the S&P 500 is currently in a blackout period, and this is expected to increase to approximately 80% by the end of the week.

2. Typically, we observe a decline in flows of around 30-35% during blackout periods.

Source: GS

Oil - positive divergence

Oil has formed some sort of base around these levels. We are still below the short term negative trend, but note the positive RSI divergence. A close above the negative trend and things could reignite to the upside.

Source: Refinitiv

Will they?

Upside is the convexity risk in oil for the CTA crowd.

Source: GS

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