泽西 Macro 解盘 - 2024 Week 8 （02/20-02/23）

Shortened week saw:

1 first two days market pulling back, especially NQ, in anticipation of NVDA earning.

2 NVDA reported fantastic results after market close on Weds (2/21) and changed the market tone;

3 Market rallied huge on Thur (NQ 3% and ES 2%) and consolidated a little bit on Friday. 

4 light on macro news (TH claim on the warm / hot side) and lots of fed talk walking back cuts

Interesting note: bond rallied on Friday despite equity strength in the week, a bit puzzling given the equity mkt strength for the week. A bit too early for EOM stock-bond rebalance. 

Note: YTD, equity up by 6% yet long bond DOWN by 6%. The gap (aka crocdile jaw), at 12%, is wide open.

 

=============== next week ==============

1 not much on macro, onl PCE on 2/29 (Thur) which is pretty much locked down given previous week's hot CPI and PPI numbers.

2 huge auction size (160b+) but mostly on short to medium maturity.

3 we are now getting towards EOM, and expect EOM rebal to favor bonds over equity.

4 HF has been sellling tech and equity names, yet retail keeps on buying. 

5 option skew very flat with cheap put and relatively expensive call. 

6 window of weekness (week after opex) is rapidly closing.