Business

Earlier in the week we noted the 'odd' surge in downside protection demand even as tech stocks were soaring, and now JPMorgan is noting the S&P has shifted to a large 'negative gamma' underhang which "could boost volatility if we were to sell off."

As Bloomberg notes, options markets suggest a lack of confidence in the rally. Traders are piling into downside hedges on every uptick in prices...

And JPMorgan derivatives desk writes:

Last August, in a post that attempted to explain why public pensions are really about $8 trillion underfunded, as opposed to the $3-$5 trillion that you frequently see tossed around in the press, we described pensions in the following way:

After falling for the first time this year two weeks ago, Baker Hughes reports US oil rig count rose once again (up 2 to 765) for the 24th week in the last 25, to the highest since April 2015.

"The so-called re-balancing is likely to happen later than earlier," Michael Poulsen, an analyst at Global Risk Management Ltd, said on Friday.

It does appear we have reached an inflection point in the rig count numbers (if the historical relationship with crude holds)...

In a dramatic appeal for rationality at the Fed, Bank of America's global FX strategy team today released a note titled "take that punch bowl away", which laments that while central banks backtracked from their hawkish recent rhetoric this week, it warns that "they will be sorry if they allow bubbles" and predicts that vol will increase this fall adding that the bank remains "cautious and selective in EM FX, despite the Fed-triggered rally this week."

After Yellen's unexpectedly dovish Congressional testimony on Wednesday, Goldman's chief economist, Jan Hatzius, who previously was especially bullish on the US economy and expected as many as 4 rate hikes in 2017, took an axe to its tightening forecast, and noting Janet's latest commentary, said "in our view, this reduces the probability of a July announcement and raises the likelihood of a September announcement. As a result, we now think that there is a 10% (vs.