Notables from last week:

1. NDX lagged
2. Correlations tightened
3. Failed to fill gap 2711(SPX)
4. VIX ROC remained elevated
5. VIX -.76% while SPX 10%+
6. No peak in epidemic curve to-date
7. Italy epidemic curve improved
8. Jobs jobs jobs
9. DXY weakened
10. Spreads tightened

Goldman Sachs: 1. Nets are high again as it would appear a lot of the shorts have been lifted

2. LO community seems hesitant to add, we know that their aggregate cash position coming into this was low…

3. quarter end/month end rebal flow always pre-traded – so probably ends today

4. very little visibility on redemptions

5. medical -…[Read more]

Nomura: “We are finally seeing the return of over writers in the equities vol space, which day-by-passing-day of incremental price stability will eventually tilt the dealer gamma profile back towards ‘long’ insulate the market from large swings in either direction, as their hedging flows tend to buy weakness/sell strength.”

Paul Tudor Jones sees Coronavirus peak between April 4th – April 10th; sees 300,000-400,000 cases in the US.

During 2000-2003 the US economy was impacted by multiple negative forces including a recession, a 49% decline in the S&P500, and the shock of 9/11, but US house prices grew at a 9% annual rate during this period. Thus, macro-economic distress needn’t always lead to falling home prices. However, we think the present situation differs from that of…[Read more]

Goldman Sachs: The market has shed a significant amount of risk in the past month, but I wouldn’t characterize as an all clear just yet. unpacking this:

i. index positioning is considerably cleaner than it was a month ago. length held by the systematic trading community has moved from near-record levels to essentially zero. while not all e…[Read more]

On Fox Treasury Secretary Mnuchin outlined 5 key points of Crisis Bill that is in final stages of negotiations. The devil is always in the details that are yet to be announced, but so far the assistance to the economy and financial system is going to be massive:

Small Business Retention (Forgivable) Loans.
Two weeks of payroll and overhead…[Read more]