S&P 500 up 13 of last 17 September option expiration weeks – September’s option expiration week is up 60.5% of the time for S&P 500 since 1982. DJIA and NASDAQ have slightly weaker track records with gains 55.3% of the time and 57.9% of the time

Flow & Liquidity expert at JPM, Nikos P, sees significant equity selling into month-end. Flows have clearly been important in September. Will this one also spook the market?

“We estimate around -$200bn of negative rebalancing flow by entities that tend to rebalance on a quarterly basis, such as US defined benefit pension plans, Norges Bank, i.e.…[Read more]

J.P. Morgan: “We find little evidence to suggest that retail investors have played a big role in this month’s equity correction, at least up until last week. If anything, small option traders saw last week’s correction as an opportunity to add to their call option buying, especially on individual equities.

We thus suspect that institutional inv…[Read more]

Merrill Lynch forecasts: “August nonfarm payrolls are likely to rise by 1.2mn and the unemployment rate should improve to 9.6%, falling back down to single digit territory.”

Due to reopening of schools in Florida and scheduling of Parent Open House scheduling, this week we are forced to forgo our weekly State of the Market video. Our weekly Research Report will be available Sunday morning, per usual. If you have any questions, feel free to message me at your convenience.

Breaking down Macy’s Q2 numbers:
-Loss per share: 81 cents vs. loss of $1.77, expected
-Revenue: $3.56 billion vs. $3.48 billion, expected
-Same-store sales: down 35.1% vs. decline of 28.2%, expected
-Online sales up 53%

Morgan Stanley: “While it’s no surprise banks have underperformed with 10 year yields so low, the magnitude of underperformance has been even worse than projected by the very powerful relationship. Using MS rates strategy team forecast for 10 year yields to be at 1.30% by June 2021 the change in y/y relative performance of banks would be d…[Read more]