MOVE

After building out Merrill's mortgage trading floor basically from scratch, then moving to the buyside at Pimco, several weeks ago Harley Bassman, more familiar to many traders as the "Convexity Maven" - a legend in the realm of derivatives (he helped design the MOVE Index, better known as the VIX for government bonds) - decided to retire (roughly one year after his shocking suggestion that the Fed should devalue the dollar by buying gold).

So "when will it end?" BofAML's best guess remains sometime in the summer.

The current rally started in February 2016 on the 2nd day of Yellen's Humphrey-Hawkins testimony. The inflection was caused by a. uber-bearish Positioning, b. uber-bearish profit expectations, c. Policy easing. And thus BofAML believe the rally will end with a. bullish Positioning, b. bullish Profit expectations, c. Policy tightening.

We’re not there yet.

Some critical observations on investor positioning from BofA's Michael Hartnett

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On April 28th the current bull market in the S&P500 will become the 2nd longest ever

3 observations:

1. Quantitative Success on Wall Street