Cost of hedging using outright puts nears YTD highs
Source: BofA, Mike Z.
A worrying divergence...
Source: J-C Parets
The Goldman US panic index is calculated as a rolling percentile of four equity volatility metrics
It spiked to one of the highest levels in two years in recent sessions... Source: Jason Goepfert on X
Even as volatility is picking up, the bull market could stay intact.
Going back to 1941, whenever the S&P 500 rose by 10% or more in the first six months of the year, it has risen by 7% on average in the second half. And the percentage of time that returns were positive in the second half of the year was almost 80% vs. 66% for any given period. The one caveat is that pullbacks in the second half tend to be deeper than the first half, averaging 9%. Source: Edward Jones, Bloomberg
The S&P 500 is down 5.7% from its closing high on July 16, the largest drawdown of the year.
The index is still up 13% year-to-date including dividends. No risk, no reward. $SPX Source. Charlie Bilello
This quarter, the reactions to the S&P 500 earnings have been less positive than usual.
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Active funds are overweight Momentum factors by ~30% vs. the S&P 500
Source: BofA, Mike Z.
The big names were the biggest losers this week
Even if other segments of the market are moving higher, it is tough for the main index to make progress of the big names continue to lose ground. Since July 10th, the market cap of the Magnificent 7 stocks has dropped a mind-numbering $2 trillion... Source: Trend Spider
