rates +2.3sd, growth +0.1sd this week; growth +0.1sd is 0.60sd short of the 0.75sd band; 13-week trend: no trend (rates +2.2sd, growth +0.3sd per quarter); 2s10s flattened 8bp over the month
Leading now
Tech (sector)new+1.3
Health (sector)2nd wk up+0.8
Comms (sector)new+0.9
Life Sciences Tools & Services (GICS)3rd wk up+2.0
XLV vol up
Building Products (GICS)2 of last 4 wks up+2.4
XLI vol up
Homebuilders2nd wk up+2.0
driver contradicts · crowded short · XLY vol up
Look at
Health (sector)2nd wk up+0.8
Life Sciences Tools & Services (GICS)3rd wk up+2.0
XLV vol up
Building Products (GICS)2 of last 4 wks up+2.4
XLI vol up
Homebuilders2nd wk up+2.0
driver contradicts · crowded short · XLY vol up
Driver moved first: Regional banks (2s10s +2.5sd, basket flat); Growth medical devices (10y Treasury +2.3sd, basket flat); Utility-scale solar (10y Treasury +2.3sd, basket flat)
Look at = up this week, members agreeing beyond chance, and 2 weeks running or a move over 2.0sd. Move out of = same rules, downward. Mechanical ranking of residual moves, checked by the backtest, not a forecast. Tags: driver = the basket's real-world series moved with it (confirms) or against it; shorts and institutions from FINRA and 13F, against the universe; vol = parent sector implied vol on the week. Backtest 2023-04-07 to 2026-09-04, look-at minus move-out-of vs sector: 1 week +0.52% (t 1.83, 166 wks), 4 weeks +0.64% (t 0.85). Positive but not significant at 4 weeks: a screen with a weak one-week edge, not a signal. sd = size of the move vs a normal week for that series; under 0.75 is no move, 2 is big.
The view
Inflation pricing moved up with no matching growth signal, so the regime is unresolved. Driven by this week's core CPI print. Yields rose without breakevens, which is a real-rate move. The dollar firmed.
What fell was hard-asset and commodity-linked, with nothing clearly rising against it.
The most unusual move is Building Products at +2.4sd with 100% of members up. Its parent sector has no implied-vol reading, so the options market says nothing about this one either way. Across the sectors, options on communication services are priced as if it will swing 31% a year while it has actually been swinging 14%, the largest overpayment of the eleven. 2 sub-industries moved broadly with no hand basket over them, the largest Building Products at +2.4sd, so the hand taxonomy could not see it.
Rotation quadrant
undecided
rates +2.3sd · growth +0.1sd
Neither axis moved enough to name a regime, so there is nothing to call yet. Growth came closer than rates (+0.1sd) and is nowhere near the bar. The last 13 weeks have no direction either, so this is not a pause in the middle of a bigger move.
Big dot = this week, small = prior weeks. Right = 10y up, up = cyclicals beat defensives. Grey cross = no real move.
XLK+1.3
XLC+0.9
XLY-0.1
XLF-0.7
XLI+0.3
XLB+0.0
XLE-1.1
XLV+0.8
XLP-0.2
XLU-1.3
XLRE-0.7
Sectors: each ETF’s week vs its own normal week.
Rates and curve
9 moved
9 up of 12, about 5 by chance
More rates series moved than chance explains: 9 of 12 against about 5 in a quiet week, all of them up. The biggest was 3m bill (+3.4sd).
nowa month agoa year ago
Yields by maturity, today vs a month and a year ago.
3m bill+10bp+3.4
10y TIPS real+17bp+2.9
2s10s+11bp+2.5
10y Treasury+17bp+2.3
-3sd0+3sd
Bars: this week’s move vs a normal week for that series; grey band = noise.
Credit, liquidity, risk
8 moved
7 up, 1 down of 23, about 10 by chance
This is an ordinary quiet week in credit and liquidity. 8 of the 23 series moved, and about 10 move in a week when nothing is going on, so nothing here says financial conditions changed.
Copper- #1, managed money+26.75%+3.4
Treasury general acct+100.1bn+2.2
Broad dollar+1.10%+1.8
CCC OAS+29bp+1.7
HY OAS+12bp+1.2
SOFR+5bp+1.1
BBB OAS+3bp+1.0
Gold, managed money-4.30%-0.8
-3sd0+3sd
Positioning: nothing crowded against its 3-year range.
Spreads, Fed plumbing, vol, dollar, oil, futures positioning. Right = wider, bigger or higher this week. Crowded = where speculators already sit, from CFTC.
Themes
15 moved
6 up, 9 down of 82, about 11 by chance
More baskets moved than chance explains: 15 of 82 against about 11 in a quiet week, 6 up and 9 down. 2 of them were carried by a couple of names rather than the whole group, so they are not really themes.
Baskets on one idea, after stripping out market and sector. % = members moving the same way; higher = more believable. ✓ ✗ = its real-world driver moved with or against it. (GICS) = mechanical sub-industry basket, not hand-picked. * = members did not agree beyond chance, so not read as a theme.
Discovery
nothing new
no group cleared the filters
No group of stocks moved together tightly enough to register. The closest was one you already have a basket for, Natural gas producers, which holds together but did not move this week.
closest: matches Natural gas producers+0.6sd
ALHC AR CNX CRK EQT EXE GPOR RRC
tight enough to be a group, but it did not move this week
Stocks that moved together this week, found without the basket list. Thin bar = how tightly; short = probably noise.
Options market
calm
VIX/VIX3M 0.83 (-0.6sd vs 3y); SKEW 145 (-0.1sd)
One month of protection on the S&P is unusually cheap against three months, which is the shape of a market expecting nothing soon (ratio 0.83). Options on communication services are priced as if the sector will swing 31% a year while it has actually been swinging 14%, the largest overpayment of the sectors here. Only 4 weeks of this sector data is stored, so the levels are readable but there is nothing to compare them against yet.
sector
IV
wk
realised
gap
Communication
31
+27.9
14
+17
Consumer discretionary
34
+30.4
19
+14
Materials
26
+6.9
15
+11
Real estate
20
+18.6
10
+11
Consumer staples
17
+0.6
7
+10
Financials
19
+2.9
9
+10
Front VIX over 3-month VIX: above 1 = stress is now. SKEW high = the tail is already hedged. Per sector: implied vol a month out, its change this week, realised vol last month, and the gap. Biggest gap = where options are most worried relative to what price did.
Positioning by basket
13 moved and tagged
universe shorts +2.1% on the last print; 13F holders +2.0% last quarter
The falls happened in names people had already bet against. 2 of the 9 baskets that fell were among the most shorted in the index before this week even started, so there is less fuel left in the move. How current this is: the short-interest column counts bets placed as of 15 September, about 1 week ago. The 13F column is older still, 30 June, about 3 months ago, so “institutions added last quarter” means more funds held these names at that date. It says nothing about what anyone did during this move.
basket
wk
DTC z
shorts15 Sep
13F30 Jun
read
Agricultural inputs
-2.2
+1.0
+9%
shorts adding
Dry bulk shipping
-2.2
-0.3
+44%
shorts adding
Homebuilders
+2.0
+2.0
+1%
+2%
crowded short
Crude tankers
-2.0
+0.7
+11%
shorts adding
Transaction & Payment Processing Services (GICS)
+2.0
+0.8
-3%
-7%
institutions cut last quarter
Payments
+1.9
+0.5
-0%
-11%
institutions cut last quarter
LNG and LPG carriers
-1.8
+0.7
+5%
shorts adding
Per basket, median of members. DTC z = days-to-cover against each name's own 3 years (over +1.5 = crowded short). Shorts = change in short shares on the last FINRA print minus the universe. 13F = change in institutional holder count last quarter minus the universe. Slower prints than price; context, not triggers.
Blind spots
2 uncovered
27 sub-industry baskets beside 55 hand baskets
2 sub-industries moved as a group this week and none of your 55 baskets covers them, so you had no way to see them. The largest move on the whole board is one of them: Building Products (+2.4sd).
Building Products100%+2.4
Investment Banking & Brokerage100%-1.8
-3sd0+3sd
Every S&P 500 name grouped by its GICS sub-industry, scored like a hand basket. Listed: sub-industries that moved broadly this week with no hand basket covering them, so the taxonomy missed them. Disagree = a hand basket and its sub-industry cousin moved opposite ways.