rates -0.2sd, growth -0.1sd this week; rates -0.2sd is 0.54sd short of the 0.75sd band, the nearer of the two; 13-week trend: leaning stagflation fear (rates +0.6sd, growth -1.1sd per quarter); 2s10s flattened 8bp over the month
Leading now
Health (sector)4th wk up+1.6
Staples (sector)4th wk up+0.8
Materials (sector)2 of last 4 wks up+1.3
Movies & Entertainment * (GICS)2nd wk up+2.7
XLC vol up
Cruise lines *new+1.8
XLY vol down
Quick service restaurants *2 of last 4 wks up+2.5
XLY vol down
Look at
Health (sector)4th wk up+1.6
Staples (sector)4th wk up+0.8
Driver moved first: Agricultural inputs (DBA -3.1sd, basket flat)
Move out of
Comms (sector)2nd wk down-2.3
Gold miners2nd wk down-2.0
driver confirms · crowded short · XLB vol up
Truckload, LTL and brokerage2nd wk down-1.9
shorts covering · XLI vol up
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. Investment grade spreads widened, which is broad rather than junk-specific.
What fell was domestic cyclical, with nothing clearly rising against it.
The most unusual move is Growth medical devices at -3.3sd with 100% of members down. Implied vol on health care rose +4.3 points on the week, so the options market is paying for more of it. Across the sectors, options on communication services are priced as if it will swing 35% a year while it has actually been swinging 17%, the largest overpayment of the eleven. One unnamed cluster of 8 names moved together (-1.6sd, cohesion 0.36). Look at the ticker list before believing it; low cohesion clusters are usually noise.
Rotation quadrant
undecided
rates -0.2sd · growth -0.1sd
Neither axis moved enough to name a regime, so there is nothing to call yet. Rates came closer than growth (-0.2sd) and is nowhere near the bar. Over the last 13 weeks the drift has been towards leaning stagflation fear, which is what to read this week against.
Big dot = this week, small = prior weeks. Right = 10y up, up = cyclicals beat defensives. Grey cross = no real move.
XLK-0.8
XLC-2.3
XLY+0.9
XLF+0.6
XLI+0.9
XLB+1.3
XLE+0.4
XLV+1.6
XLP+0.8
XLU+0.8
XLRE+0.7
Sectors: each ETF’s week vs its own normal week.
Rates and curve
3 moved
1 up, 2 down of 12, about 5 by chance
This is an ordinary quiet week in rates. 3 of the 12 series moved, and about 5 move in a week when nothing is going on, so there is nothing to read here.
nowa month agoa year ago
Yields by maturity, today vs a month and a year ago.
2s10s+7bp+1.6
3m bill-4bp-1.4
2y Treasury-8bp-0.8
5y5y forward infl+2bp+0.7
-3sd0+3sd
Bars: this week’s move vs a normal week for that series; grey band = noise.
Credit, liquidity, risk
9 moved
5 up, 4 down of 23, about 10 by chance
This is an ordinary quiet week in credit and liquidity. 9 of the 23 series moved, and about 10 move in a week when nothing is going on, so nothing here says financial conditions changed.
Overnight RRP+4.2bn+2.7
Copper- #1, managed money-14.92%-2.2
CCC OAS-29bp-1.6
BBB OAS+3bp+1.0
IG OAS+3bp+1.0
Treasury general acct+47.7bn+0.9
WTI-5.79%-0.8
SOFR+3bp+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
4 up, 11 down of 83, about 11 by chance
More baskets moved than chance explains: 15 of 83 against about 11 in a quiet week, 4 up and 11 down. 11 of them were carried by a couple of names rather than the whole group, so they are not really themes.
Growth medical devices * (7 reporting)100%-3.3
Systems Software * (GICS) (2 reporting)80%-3.2
Movies & Entertainment * (GICS) (2 reporting)100%+2.7
Quick service restaurants * (6 reporting)50%+2.5
Life Sciences Tools & Services * (GICS) (4 reporting)100%-2.2
Health Care Equipment * (GICS) (7 reporting)67%-2.1
Gold miners (3 reporting)100% ✓-2.0
Truckload, LTL and brokerage (2 reporting)100%-1.9
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
2 unnamed
2 groups found
2 groups of stocks moved together with no basket covering them. The largest is 8 names (-1.6sd), but they only move together loosely, so it is probably coincidence (cohesion 0.36).
8 names, no basket-1.6sd
AMZN BE BEN CAT GOOG GOOGL INTC SIMO
7 names, no basket+1.5sd
AMT CCI GEN GNRC ORCL PTC SBAC
Stocks that moved together this week, found without the basket list. Thin bar = how tightly; short = probably noise.
Options market
ordinary
VIX/VIX3M 0.94 (+1.1sd vs 3y); SKEW 150 (+0.4sd)
Nothing imminent is priced: one month of protection on the S&P costs less than three months, which is the normal shape (ratio 0.94). Options on communication services are priced as if the sector will swing 35% a year while it has actually been swinging 17%, the largest overpayment of the sectors here. Only 7 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
35
+12.7
17
+18
Technology
37
+8.3
21
+16
Materials
27
+5.4
14
+13
Consumer discretionary
24
-2.8
12
+12
Industrials
22
+2.4
11
+11
Energy
30
+1.2
21
+9
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
7 moved and tagged
universe shorts +0.2% on the last print; 13F holders +2.1% last quarter
7 baskets that moved this week carry a positioning tag, but none of them is crowded enough to change how you read the move. How current this is: the short-interest column counts bets placed as of 15 October, about 2 weeks ago. The 13F column is older still, 30 June, about 4 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 Oct
13F30 Jun
read
Systems Software (GICS)
-3.2
+0.6
-4%
+7%
shorts covering, institutions added last quarter
Life Sciences Tools & Services (GICS)
-2.2
-0.1
-7%
-0%
shorts covering
Health Care Equipment (GICS)
-2.1
+0.6
-1%
-3%
institutions cut last quarter
Gold miners
-2.0
+2.7
+3%
crowded short
Truckload, LTL and brokerage
-1.9
+0.5
-5%
shorts covering
Life science tools
-1.7
-0.1
-7%
-0%
shorts covering
Midstream and gathering
+1.6
+0.9
-2%
-3%
institutions cut last quarter
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
none uncovered
28 sub-industry baskets beside 55 hand baskets
Every group that moved this week is already covered by one of your baskets. The closest miss was Systems Software (-3.2sd), and it fell short because its members did not agree beyond chance.
Systems Software (closest)80%-3.2
Movies & Entertainment (closest)100%+2.7
-3sd0+3sd
A sub-industry holds most of its sector, and its sector is subtracted, so it rarely clears.
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.