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Market Memo

26/Sep/23 ◆ 금리 급등 지속 (Bear steepening ∵ government shutdown issue) … De-grossing (Big tech 매도) … 소비 지표 부진 (Finally?) U.S. Index: S&P500 -1.47%, Nasdaq -1.51%, Dow -1.14% U.S. Rate: 2Y 5.134% (+0.9bp), 5Y 4.623% (+0.3bp), 10yr 4.55% (+0.6bp), 30yr 4.687% (+2.1bp) U.S. Equity: 필라델피아 반도체 -2.16%, 필라델피아 은행 -1.63%, Big Tech주 -2.13% Gamma Index: SPY -0.637, QQQ -0.188, IWM -0.136 ◆ Economic Indicators U.S. 8月 Bu.. 더보기
25/Sep/23 ◆ 금리 다시 급등 (Bear steepening) … VIX 하락 & Short covering으로 시장 반등 … DXY +0.36%, U.S. 30年 금리 +13.8 bp U.S. Index: S&P500 +0.4%, Nasdaq +0.46%, Dow +0.13% U.S. Rate: 2Y 5.125% (+1.1bp), 5Y 4.62% (+6bp), 10yr 4.544% (+10.8bp), 30yr 4.666% (+13.8bp) U.S. Equity: 필라델피아 반도체 0.72%, 필라델피아 은행 0.43%, Big Tech주 0.78% Gamma Index: SPY -0.66, QQQ -0.201, IWM -0.133 ◆ Flows from the last week (Source: Nomura, Sp.. 더보기
22/Sep/23 ◆ Quiet day … Rate 되돌림 현상 있었으나 -ve gamma & Systematic sell 지속되며 Equity 소폭 하락 U.S. Index: S&P500 -0.23%, Nasdaq +0.05%, Dow -0.31% U.S. Rate: 2Y 5.114% (-3.4bp), 5Y 4.56% (-6.1bp), 10yr 4.436% (-6.2bp), 30yr 4.528% (-5.2bp) U.S. Equity: 필라델피아 반도체 0.83%, 필라델피아 은행 -1.26%, Big Tech주 0.1% Gamma Index: SPY -0.693, QQQ -0.221, IWM -0.13 ◆ Economic Indicators U.S. 9月 SPGI Manufacturing PMI 48.9 (est. 48.. 더보기
21/Sep/23 ◆ Long-end rate↑↑↑ (Steepening~) ... SPX -ve gamma + Systematic selloff … When will LO buy? U.S. Index: S&P500 -1.64%, Nasdaq -1.84%, Dow -1.08% U.S. Rate: 2Y 5.148% (-1.7bp), 5Y 4.621% (+5.6bp), 10yr 4.498% (+10.5bp), 30yr 4.58% (+14.4bp) U.S. Equity: 필라델피아 반도체 -1.85%, 필라델피아 은행 -1.54%, Big Tech주 -1.89% Gamma Index: SPY -0.614, QQQ -0.182, IWM -0.126 ◆ Economic Indicators U.S. 9月 Philly FED Manu.. 더보기
20/Sep/23 ◆ Hawkish FOMC … Equity supply ↑ (sell pressure ↑) … One event day implied movement 초과하여 하락 … 여전히 careful … U.S. Index: S&P500 -0.94%, Nasdaq -1.46%, Dow -0.22% U.S. Rate: 2Y 5.165% (+7.1bp), 5Y 4.565% (+5bp), 10yr 4.393% (+2.8bp), 30yr 4.436% (+0.6bp) U.S. Equity: 필라델피아 반도체 -1.64%, 필라델피아 은행 -0.84%, Big Tech주 -2.2% Gamma Index: SPY -0.478, QQQ -0.127, IWM -0.11 ◆ Economic Indicators U.S. FED Int.. 더보기
19/Sep/23 ◆ Waiting for FOMC … Equity 하락 후 회복하여 소폭 하락 수준으로 마감 … 금리 상승 U.S. Index: S&P500 -0.22%, Nasdaq -0.22%, Dow -0.31% U.S. Rate: 2Y 5.094% (+3bp), 5Y 4.515% (+5.5bp), 10yr 4.365% (+5bp), 30yr 4.43% (+4.1bp) U.S. Equity: 필라델피아 반도체 -0.84%, 필라델피아 은행 -0.42%, Big Tech주 -0.09% Gamma Index: SPY -0.534, QQQ -0.131, IWM -0.114 ◆ Economic Indicators E.U. 8月 CPI YoY +5.2% (est. +5.3%, 전월 +5.3%) … 예상치 하회 … E.U. .. 더보기
18/Sep/23 ◆ Quiet day … Waiting for FOMC U.S. Index: S&P500 +0.07%, Nasdaq +0.15%, Dow +0.02% U.S. Rate: 2Y 5.064% (+2.7bp), 5Y 4.46% (-0.7bp), 10yr 4.315% (-1.9bp), 30yr 4.389% (-2.9bp) U.S. Equity: 필라델피아 반도체 0.35%, 필라델피아 은행 -0.57%, Big Tech주 0.47% Gamma Index: SPY -0.019, QQQ -0.043, IWM -0.031 ◆ Someone is shorting … (Source: GS) No ~ Soft landing narratives ↑ … However, consumer discretionary & consum.. 더보기
15/Sep/23 ◆ Triple Witching Day … Where loads of money accounted & where everything reversed … AM SPX 결재 √ & PM SPY 결재 X U.S. Index: S&P500 -1.22%, Nasdaq -1.75%, Dow -0.83% U.S. Rate: 2Y 5.037% (+2.1bp), 5Y 4.467% (+4.3bp), 10yr 4.334% (+4.4bp), 30yr 4.418% (+3.6bp) U.S. Equity: 필라델피아 반도체 -2.89%, 필라델피아 은행 -0.6%, Big Tech주 -2.02% Gamma Index: SPY -0.105, QQQ -0.05, IWM -0.13 ◆ Economic Indicators U.S. 9月 .. 더보기

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