Have corrections become up days?

The trend of corrections lasting for fewer days and markets selling off less and less continues. Today the correction was actually an up day.

SPX managed printing another ATH having reversed the early day move lower.

VIX showed some early stress, but that was also reversed.

Even “worried” Wilson threw in the towel today (here) as the market continues trading like a cork in water…

Refinitiv

The collapse of realized volatility

SPX 5 and 10 day realized vols have absolutely crashed. There was a bit early day hope for some volatility returning to markets, but the close to close volatility once again managed producing almost zero volatility.

August has so far been one of the most boring months in forever. We outlined our latest take on vol in early August in our post Do people realize how little this market is realizing; how do you play it?

We suggested using what was elevated volatility only a few weeks ago and earn extra yield for August. We suggested;

“If you think this slow grind higher at highs goes on for longer, a simple sold straddle/strangle also makes sense given how elevated vols trade.”

Our general vol logic hasn’t changed, especially since the Jackson Hole event has become a non event and the excitement has moved to September, but the relative attractiveness of selling volatility here is less compared to a few weeks ago.

Collecting theta has been a great strategy in August. Let’s see if the return of the VIX guy changes our mind…

Never, ever has earnings beats been this strong

Any way you look at it, earnings remain exceptional. And not just in terms of breadth, but magnitude as well. Not only was this our fifth consecutive Q of top decile earnings revisions, but we have never previously seen revisions >3% for two Qs in a row, let alone five. It’s no wonder that we continue to hear ‘peak everything’ concerns

Jefferies

Never, ever has earnings been revised up this much

So far ytd, the consensus EPS projections for 2021 in Europe have been revised higher by 16%. This is the best showing on record…

JPM strategy