Tier1 Alpha @t1alpha Twitter profile

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Tier1 Alpha

@t1alpha

1 year

$2.2 Trillion notional $SPX/ $SPY contracts are set to expire tomorrow during the quarterly expiration. This will be the largest June OpEx on record. Stay Informed.

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Tier1 Alpha

@t1alpha

7 months

I'm just going to leave this one here... $SPX 👀

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Tier1 Alpha

@t1alpha

1 year

This is the largest selling event we've seen from vol control funds since late 2022, with an estimated $28B of selling flow hitting the market. A textbook example of negative gamma driving up realized volatility, which causes these quant funds to sell equities. $SPX $VIX

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Tier1 Alpha

@t1alpha

1 year

1/ Are hedge funds massively net short? Lets take a closer look. 🧵 $SPX *Spoiler Alert* There is no big hedge fund short.

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Tier1 Alpha

@t1alpha

2 years

Historically, bear markets that last longer than 200 trading days are extended out to 300-plus before reaching a final low. Assuming we didn't bottom out in June, this is day 169. Stay Informed.

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Tier1 Alpha

@t1alpha

8 months

48% of $SPX components have an RSI greater than 70. Most overbought in at least a decade.👀

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Tier1 Alpha

@t1alpha

2 years

"We're hearing from our friends in the hedge fund community that many funds, especially in multistrategy firms like Millenium, were shut down and unwound. With many of the most shorted stocks up 15-30%, it's hard to ignore the obvious fingerprint of forced unwinds."

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Tier1 Alpha

@t1alpha

9 months

1/ Bear market rallies are notoriously violent and abrupt. And last week was among the most violent and abrupt of them all. While implied vol cratered over the week, and betrayed zero interest in hedging for the weekend, the price behavior left us searching for analogs.

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Tier1 Alpha

@t1alpha

10 months

Our Systematic Positioning index isn't buying the move. Quant funds sold another $10 billion in equity exposure today. All else being equal, we expect this selling to continue into next week.

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Tier1 Alpha

@t1alpha

1 year

The $SPX 2-week spot/vol correlation has finally broken down. Take the sample size and false signals for what they are, but we've seen this happen before some pretty memorable selloffs in the past. Will this time be different?

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Tier1 Alpha

@t1alpha

28 days

This is wild. 80% of the $SPX is in the GREEN today, while the cash index is down -75bps. Market cap distortion is in full effect.

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Tier1 Alpha

@t1alpha

8 months

This is on course to become the largest OpEx in history for $SPX/ $SPY linked contracts, with a staggering $3.1 trillion in notional Open Interest scheduled to expire this Friday.👀

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Tier1 Alpha

@t1alpha

1 year

It seems like $VVIX is trying to tell us something... 👀

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Tier1 Alpha

@t1alpha

3 months

$NVDA is accounting for over 40% of the move in $SPX today while the broader index is DOWN. Unfortunately, we've been able to say this a few times this year, but this is one of the largest examples of market cap distortion we've seen yet. Equal weight $RSP is down -0.61%.

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Tier1 Alpha

@t1alpha

1 year

85% downside day. Market cap distortion at its finest. $SPX $SPY $VIX

Hubrishunter

@hubrishunter

1 year

Just about everything red, but no, FAANGS + presses on. $NQA green. What is the breadth of the market? As per usual a few stocks in safe haven intra index mode. Something has gotta give!!! $SPX .

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Tier1 Alpha

@t1alpha

10 months

$SPX is having a 78% downside day with an average decline of -1.54%. Outside of the mega caps, the market is much more bearish than it seems.

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Tier1 Alpha

@t1alpha

10 months

Today, over 54% of $SPX options volume was from 0DTE contracts, which is right around record levels. Keep in mind that around 85% of this volume is being driven by the dealers themselves, who are hedging their own positions without ever engaging the futures market.

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Tier1 Alpha

@t1alpha

10 months

The $VIX just closed above 20 for the first time in 101 trading sessions, ending the longest such stretch since 2018. Someone cue the dramatic music.

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Tier1 Alpha

@t1alpha

2 months

$AAPL is driving 35% of the bullish momentum in $SPX today, while the equal weight index is lagging with a decline of -0.36%. This has resulted in a three-decade low in the correlation between $SPX and its equal-weighted counterpart. Market cap distortion is in full effect.

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Tier1 Alpha

@t1alpha

8 months

The last risk standing.. After the recent rally, pension funds that rebalance quarterly/ annually are left very overweight US stocks. They will have to sell around $133B in US equity just to return to their target allocations, which could create some headwinds going into 2024.

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Tier1 Alpha

@t1alpha

1 year

1/ The past two days have been broadly characterized as a value rally or a broadening of the market. Unfortunately, nothing could be further from the truth. No, really. 🧵 $NDX $RUT $SPX

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Tier1 Alpha

@t1alpha

2 years

The rise in 0dte volume does not appear to be a retail story, but rather a regulatory arbitrage story. As an institutional investor, there's an intraday loophole. If I don't hold the position when my prime broker looks at my end of day books, I don't need to post collateral.

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Tier1 Alpha

@t1alpha

2 years

3-sigma moves are always fun. This is only the second time ever $SPX has returned more than +4%, while the $VIX is under 25. The last and only other time that happened was on March 3rd, 2000 ( $VIX: 20.77, $SPX%: +4.7%).

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Tier1 Alpha

@t1alpha

4 months

CTAs have sold off an estimated $20B in equities since Monday, but the selling flows from Vol control funds and Risk parity strategies have been much less aggressive. That leaves a lot of potential deleveraging risk on the table if volatility increases from here. $SPX $VIX

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Tier1 Alpha

@t1alpha

1 year

Only 53% of $SPX stocks are still trading higher than their 50-day moving averages, which is down from almost 90% just three weeks ago. This is a clear sign of collapsing momentum. 👀

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Tier1 Alpha

@t1alpha

6 months

58% of $SPX is in the red right now. Most distorted market we've seen in a long time.

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Tier1 Alpha

@t1alpha

6 months

Current update. $NVDA is contributing nearly 33% of today's relative momentum. This is the clearest example of market cap distortion we've ever seen. Just TEN stocks are driving 61.2% of today's move.

Keith McCullough

@KeithMcCullough

6 months

$NVDA Impact Reversal Today "Nvidia accounted for 12.7% of the downside move, although at one point, it was responsible for as much as 20% of the move" @t1alpha

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Tier1 Alpha

@t1alpha

1 year

In case you were wondering what's driving the markets today. $AAPL $AMZN $MSFT $GOOG $TSLA

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Tier1 Alpha

@t1alpha

9 months

1/ Navigating Negative Gamma: 🧵 Dealers remain excessively short-gamma with around $1.7 billion to hedge per index point. This level puts us back near the max amount of negative Gamma we've seen this year and close to record levels since 2018.

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Tier1 Alpha

@t1alpha

8 months

It's bearish out there... 87% of the $SPX is currently in the red for an average decline of 1.2%. Market cap distortion at its finest.

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Tier1 Alpha

@t1alpha

6 months

Just a friendly reminder that new highs in $SPX are not uncommon ahead of both recessions and bear markets. 1998 was the exception to the recession, but it still ended with a 20% decline.

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Tier1 Alpha

@t1alpha

1 year

A series of unfortunate events, yet markets are only down ~4% from a month ago. Systematic funds are primed to continue selling here, and a market upturn doesn't necessarily mean they'll start buying again. This is a concerning setup from a positioning standpoint.

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Tier1 Alpha

@t1alpha

10 months

$JHEQX JPM Collar rolled over. The new Q4 positions are: Short Puts -> 3420 Long Puts -> 4055 Short Calls -> 4515 *Note the larger volume spikes were from the adjustment.

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Tier1 Alpha

@t1alpha

1 year

Well, well, well... New JPM Collar rolled over. 3260, 3860, and 4300 strikes in play. Stay Informed.

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Tier1 Alpha

@t1alpha

10 months

Back in the danger zone: With $VIX above 20, we enter the realm of 2-sigma moves.

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Tier1 Alpha

@t1alpha

10 months

72% downside day for $SPX with an average decline of -1.26%. It's bearish out there under the surface.

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Tier1 Alpha

@t1alpha

9 months

$SPX Notional Call volume yesterday.👀

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Tier1 Alpha

@t1alpha

2 years

After last week's exceptionally large OpEx, we estimate market makers are still largely in negative gamma. This could be a driving factor for volatility throughout the week, as dealers will have to chase the markets to maintain a delta-neutral hedge.

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Tier1 Alpha

@t1alpha

2 years

Spooky chart #2 Update: First time this model has officially triggered since 2018 and only the 6th time in 30 years. In the past, when the $SPX/ $VIX correlation goes back to negative, there have been some pretty memorable volatility events. Worth keeping in mind. $SPY $VOO

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Tier1 Alpha

@t1alpha

8 months

Well, that escalated. $SPY 👀

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Tier1 Alpha

@t1alpha

1 year

Breadth is weaker than you may think today. 77% of $SPX is down an average of -1.7%. Some heavy market cap distortion as $APPL, $MSFT, $AMZN, $GOOG are protecting the index from further losses. Watch out if these start to slip.

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Tier1 Alpha

@t1alpha

1 year

1/ Headlines on 0dte are growing, with JPM's Marko Kolanovic joining us in the comparisons to 2017. We want to emphasize that the emergence of massive short vol positioning is like kindling on a campfire - it creates the conditions for a blaze but is not the catalyst for a blaze.

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Tier1 Alpha

@t1alpha

7 months

There is a general underappreciation for the increasingly mechanistic behavior of markets as option notional swamps underlying and passive/ systematic strategies continue to gain increasingly dominant share. Modern market structure = Flows > Fundamentals!

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Tier1 Alpha

@t1alpha

1 year

Notable increase in Vol-of-Vol today. Largest jump since September of last year. $VVIX 👀

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Tier1 Alpha

@t1alpha

1 year

401(k) inflows hit $70 billion last month, $38 billion of which went into US equities. It's difficult to envision a more pronounced bear market unfolding unless we witness a significant decline in the labor market, causing these flows to taper off.

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Tier1 Alpha

@t1alpha

1 month

$NVDA accounted for over 32% of today's positive momentum in $SPX as the breakdown in correlation continues.

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Tier1 Alpha

@t1alpha

1 year

The Nasdaq is closing in on our upper Probable Volatility band, shifting the risk/reward in favor of the bears in the near-term. 👀 We send these levels out every morning in our daily reports. Still 100% FREE. 👇👇👇

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Tier1 Alpha

@t1alpha

1 year

ISM puts the current odds of a recession at 80%, which suggests that we are either in or fast approaching a significant economic slowdown. Elevated inflation, which likely delays aid from the Fed, and a violently divided Congress, which limits fiscal, suggests imminent danger.

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Tier1 Alpha

@t1alpha

1 year

Huge jump in the number of $SPX components flashing oversold conditions. Currently, 14% of the index has an RSI under 30. 14% may not seem like a lot, but thats actually in the 94%ile over the past decade. 👀

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Tier1 Alpha

@t1alpha

9 months

77% upside day for $SPX, but let's give a round of applause to $AAPL and $MSFT for single-handedly driving around 35% of the move.👀

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Tier1 Alpha

@t1alpha

1 year

A lot is riding on just a handful of $SPX companies right now. The number of components outperforming the index is near a decade low, hovering around the 2nd percentile. (Looking at you, $NVDA ) 👀

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Tier1 Alpha

@t1alpha

1 year

Our last recession left us filled with recency bias for how quickly things can deteriorate. Today, there is an equal level of complacency, which is just as dangerous since the underlying economic risks remain. Now, the trillion-dollar question. Is 2024 the year of volatility?

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Tier1 Alpha

@t1alpha

6 months

Today marks the end of a 252-day streak without a +/- 2% move in $SPX. Third longest stretch since 2006.

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Tier1 Alpha

@t1alpha

1 month

Nearly 80% of the $SPX is in the red today for an average decline of -1.28%, while the index itself is in the green. Impressive stuff.

Michael Green

@profplum99

1 month

Normal…

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Tier1 Alpha

@t1alpha

1 year

Which one gives first? $MOVE $SPX

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Tier1 Alpha

@t1alpha

1 year

Stay vigilant this week as market breadth continues to show signs of deterioration. 👀 $SPX

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Tier1 Alpha

@t1alpha

9 months

CTA's were buying. Vol control funds were selling. Our Systematic Positioning Index was basically at a wash, resulting in this impressive divergence. If more systematic flows are set to enter the market next week, we expect the trend followers to be the driving force.

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Tier1 Alpha

@t1alpha

1 year

Things are not always what they seem. $SPX $SPY

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Tier1 Alpha

@t1alpha

1 year

Despite some modest selling from both CTA's and Vol control funds over the past few weeks, our Systematic Positioning Index is still high in the 80%ile. That leaves a substantial amount of deleveraging risk on the table if volatility levels escalate from here. 👀

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Tier1 Alpha

@t1alpha

10 months

This shouldn't come as a surprise, but intraday volatility was through the roof today. @profplum99 nailed it in this morning's note: "And unfortunately for bears, elevated implied volatility that fails to materialize is often the catalyst for a rally."

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Tier1 Alpha

@t1alpha

28 days

$SPX -0.88%. $RSP +1.21%. This divergence ranks in the 99th percentile over the past three decades.

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Tier1 Alpha

@t1alpha

1 year

65% downside day with an average decline of -1.34%. $MSFT, $AMZN, and $GOOG are the only companies holding up the $SPX right now. Market-cap distortion at its finest.

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Tier1 Alpha

@t1alpha

1 year

$SPX is exceptionally bearish under the hood. 78% downside day with an average decline of -1.49%. $MSFT is single-handedly stopping $SPX from further losses as it holds a 6% weight in the index.

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Tier1 Alpha

@t1alpha

2 years

One of the more interesting divergences developing is the spread between margin debt and the NYSE index. Like 2019... and 2002... and even the summer rally in 2008... we are NOT seeing margin debt confirm higher prices.

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Tier1 Alpha

@t1alpha

1 year

A new record was set in $SPX Call volume yesterday— $780 billion in notional volume. Only 38% of this was from 0dte, with most transactions taking place in longer-tenured contracts. The tail is wagging the dog.

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Tier1 Alpha

@t1alpha

2 years

Right now, 51% of $SPX stocks are trading above their 200-day moving average, which is unusually high considering the -19.5% drawdown. This reflects the current market-cap distortion and implies the broader index may be better off than the spot price is suggesting.

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Tier1 Alpha

@t1alpha

10 months

Only 8% of $SPX stocks are currently trading above their respective 50-day moving averages, representing a 2%ile move over the last decade.

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Tier1 Alpha

@t1alpha

27 days

Off the charts👀

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Tier1 Alpha

@t1alpha

4 months

Interesting $SPX breadth profile today. 68% of the index is in the green, but it's still not enough to balance out the weakness in tech. Overall, $NVDA, $META, $AMZN, $MSFT, and $AAPL are responsible for over 40% of the bearish momentum. Market cap distortion at its finest!

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Tier1 Alpha

@t1alpha

11 months

25% of the $SPX has an RSI under 30, a 97%ile level over the past decade.👀

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Tier1 Alpha

@t1alpha

9 months

Right on schedule, short-dated $SPX Puts remain the go-to choice for tactically hedging against specific risk events, such as tomorrow's Fed announcement. If that risk fails to materialize, it could be a catalyst for a rally.

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Tier1 Alpha

@t1alpha

1 year

1/ THREAD: What are the odds of a US default? One way to think of the problem is to look at US equity markets.

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Tier1 Alpha

@t1alpha

1 year

Less than 40% of $SPX companies are outperforming the index itself, as the YTD strength is increasingly tied to a small group of tech & mega-cap stocks. Current level ranks in the 3%ile over the past decade. Does this look like a robust market?

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Tier1 Alpha

@t1alpha

10 months

71% of $SPX stocks are back below their respective 200-day moving averages. This is the lowest level seen this year and falls within the 12%ile over the past decade. 👀

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Tier1 Alpha

@t1alpha

1 year

The $SPX 2-week spot/vol correlation has normalized after going positive twice in recent weeks. Keep in mind the sample size and false signals, but this rare event has preceded some significant sell-offs in the past. Is this the start of a bigger move? Or just more noise?

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Tier1 Alpha

@t1alpha

10 months

Some aggressive selling is coming from the Systematic Community at these levels, including Vol control funds and CTAs. While Negative Gamma acts as a throttle for volatility, volatility acts as a toggle for equity exposure, which can add a directional component to the vol.

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Tier1 Alpha

@t1alpha

9 months

Coming soon....

Intrepid Investor

@fauxbogan

9 months

@t1alpha @t1alpha How do I get access to your MBAD live indicator?

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Tier1 Alpha

@t1alpha

1 year

"The world we inhabit today does not resemble the world we were taught existed. These flows really matter." 👇👇👇

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Tier1 Alpha

@t1alpha

8 months

Watch today's $SPY rally in 20 seconds. @Hedgeye

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Tier1 Alpha

@t1alpha

5 months

1/ The current upward trends of the $VIX and $SPX echo the dynamics of the Taper Tantrum, an event set into motion in 2013 by Ben Bernanke's challenge to the established "lower for forever" outlook in rate markets.

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Tier1 Alpha

@t1alpha

5 months

As we mentioned earlier this week, we are witnessing a substantial decline in the $SPX 1-month realized volatility post-FOMC. Due to this move, vol-control funds will have to mechanically increase their equity exposure, adding some supportive flow to the market.

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Tier1 Alpha

@t1alpha

1 year

ISM Manufacturing at 46.👀

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Tier1 Alpha

@t1alpha

1 year

Breadth is back with a vengeance. 83% of $SPX components are trading above their 50-day moving averages. That's a 97%ile reading over a ten-year period.

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Tier1 Alpha

@t1alpha

5 months

37 second market recap today. Watch $NVDA just nuke $SPX. Overall, just TEN stocks were responsible for 52% of the bearish momentum. This is a heavily distorted market.

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Tier1 Alpha

@t1alpha

10 months

The $VIX isn't dead, but it hasn't been the same since 2020. There's a notable decline in both Open Interest and Volume in the $SPX options used to calculate the $VIX. We don't believe 0DTE was the driver of this decline, but it may explain why levels still haven't recovered.

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Tier1 Alpha

@t1alpha

1 year

If you had completely avoided OpEx week over the past few years, your portfolio would be sitting near an all-time high. #hindsight $SPX $SPY

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Tier1 Alpha

@t1alpha

1 year

77% downside day for an average decline of -1%. $SPX is more bearish than it seems. #badbreadth

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Tier1 Alpha

@t1alpha

9 months

The $SPX 1-month realized vol jumped over 5% today to 16.2, its highest level in six months. Remember, upside volatility is STILL volatility.

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Tier1 Alpha

@t1alpha

11 months

80% upside day for $SPX. Keep in mind that when we see extreme breadth readings like this, it's usually a sign of rising correlations, which can actually be a strong driver of volatility. Not usually a sign of a healthy market, although sometimes it can work in your favor.

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Tier1 Alpha

@t1alpha

1 year

$VVIX trying to tell us something?👀

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Tier1 Alpha

@t1alpha

10 months

This is a friendly reminder that upside volatility is still volatility. 1m rVol is up ~6% intraday, which means Vol Control Funds are selling this rally, creating some headwinds.

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Tier1 Alpha

@t1alpha

1 year

1/ Over the past half century, the introduction of the index fund has likely been the most profound change to financial markets.

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Tier1 Alpha

@t1alpha

1 year

Some extreme market cap distortion today. Despite $SPX closing in the red, 69% of the index had actually advanced for an average gain of 1.83%! Things were more bullish than they appeared.

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Tier1 Alpha

@t1alpha

3 months

No surprises here, but $SPX intraday volatility was through the roof today—the highest we've seen in over a year.

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Tier1 Alpha

@t1alpha

1 year

With just over 300 trading sessions since the $SPX peak last year, history suggests we see a bottom in the next 150 sessions. Only 1932 and 2002 saw otherwise. It's also possible we bottomed last October, but with macro risks ahead, our bias towards a new 52-week low remains.

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Tier1 Alpha

@t1alpha

1 year

Which one breaks first?

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Tier1 Alpha

@t1alpha

1 year

Vol Control funds just received a $20B buy signal for equities.👀

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Tier1 Alpha

@t1alpha

1 year

It's not hard to find whats driving $SPX today. Market cap distortion at its finest! $NVDA $MSFT $TSLA $AAPL

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Tier1 Alpha

@t1alpha

1 year

Yesterday, over 80% of the index advanced. Today, 90% of the index is declining. Such large swings in breadth are highly indicative of rising realized correlation, which is almost always expressed as higher vol. Note the wide spread between the average gain/ decline today.

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