rates +0.6sd, growth -0.0sd this week; rates +0.6sd is 0.14sd short of the 0.75sd band, the nearer of the two; 13-week trend: no trend (rates +0.9sd, growth -0.1sd per quarter); 2s10s flattened 11bp over the month
Leading now
Regional banks2nd wk up+1.6
institutions added last quarter
Advanced packaging and testreversal+1.6
Communications Equipment * (GICS)reversal+1.7
shorts adding · institutions added last quarter
Look at
Regional banks2nd wk up+1.6
institutions added last quarter
Driver moved first: Agricultural inputs (Wheat (IMF) +2.2sd, 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, breakevens. The dollar weakened.
7 baskets moved with no clean pattern by style, which reads as stock-specific rather than regime.
The most unusual move is Electric Utilities at -3.9sd with 93% of members down. Its members were already heavily shorted, so the down move has company and less fuel. Its parent sector has no implied-vol reading, so the options market says nothing about this one either way. Across the sectors, options on financials are priced as if it will swing 16% a year while it has actually been swinging 9%, the largest overpayment of the eleven. 5 sub-industries moved broadly with no hand basket over them, the largest Electric Utilities at -3.9sd, and 2 of them are utilities, so there is no utilities basket at all. What decides next week: whether the 10-year clears the deadband, which would decide the quadrant.
Rotation quadrant
undecided
rates +0.6sd · growth -0.0sd
Neither axis moved enough to name a regime, so there is nothing to call yet. Rates came closer than growth (+0.6sd) and needed to be about 23% bigger to count. 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+0.2
XLC-0.2
XLY-0.3
XLF-0.7
XLI-0.0
XLB-0.3
XLE+0.2
XLV-1.0
XLP-0.5
XLU+0.5
XLRE+0.2
Sectors: each ETF’s week vs its own normal week.
Rates and curve
5 moved
5 up of 12, about 5 by chance
This is an ordinary quiet week in rates. 5 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.
5y breakeven+9bp+1.5
3m bill+4bp+1.4
10y breakeven+5bp+1.1
3m10y+8bp+1.0
-3sd0+3sd
Bars: this week’s move vs a normal week for that series; grey band = noise.
Credit, liquidity, risk
11 moved
8 up, 3 down of 23, about 10 by chance
More credit and liquidity series moved than chance explains: 11 of 23 against about 10 in a quiet week, 8 up and 3 down. The biggest was VIX 9-day (+2.3sd).
VIX 9-day+47.87%+2.3
Overnight RRP+4.1bn+2.0
VIX / VIX3M+9.59%+1.8
Treasury general acct-84.6bn-1.6
VIX 3m+7.16%+1.1
VIX+13.28%+1.1
Broad dollar-0.57%-1.0
Brent+7.11%+0.9
-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
8 moved
3 up, 5 down of 81, about 11 by chance
Fewer baskets moved than a quiet week would throw up on its own (8 of 81, against about 11 by chance), so read this week as individual stocks rather than a rotation. 6 of the 8 are groups built automatically from the index rather than ones you picked, so the week is being carried by themes you never wrote down. One of them was carried by a couple of names rather than the whole group, so it is not really a theme.
Electric Utilities (GICS)93%-3.9
Multi-Utilities (GICS)100%-2.4
Health Care Equipment (GICS)94%-2.4
Building Products (GICS)100%-2.1
Communications Equipment * (GICS)83%+1.7
Regional banks100%+1.6
Advanced packaging and test100%+1.6
Asset Management & Custody Banks (GICS)92%-1.5
-3sd0+3sd
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
all known
1 group found
The one group of stocks that moved together is one you already have a basket for (Oil & Gas Exploration & Production), so nothing new was found.
Oil & Gas Exploration & Production+1.3sd
APA DVN FANG OXY
Stocks that moved together this week, found without the basket list. Thin bar = how tightly; short = probably noise.
Options market
ordinary
VIX/VIX3M 0.90 (+0.5sd vs 3y); SKEW 147 (+0.3sd)
Nothing imminent is priced: one month of protection on the S&P costs less than three months, which is the normal shape (ratio 0.90). Options on financials are priced as if the sector will swing 16% a year while it has actually been swinging 9%, the largest overpayment of the sectors here. Only 2 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
Financials
16
9
+7
Industrials
20
14
+7
Consumer staples
17
10
+7
Materials
19
13
+6
Technology
28
25
+2
Real estate
16
14
+2
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 +3.9% on the last print; 13F holders +1.3% last quarter
The falls happened in names people had already bet against. 3 of the 5 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 31 August, about 2 weeks ago. The 13F column is older still, 31 March, about 5 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
shorts31 Aug
13F31 Mar
read
Electric Utilities (GICS)
-3.9
+1.7
+1%
+2%
crowded short, institutions added last quarter
Multi-Utilities (GICS)
-2.4
+1.0
-1%
+4%
institutions added last quarter
Health Care Equipment (GICS)
-2.4
+0.9
+3%
-3%
institutions cut last quarter
Building Products (GICS)
-2.1
+1.7
+1%
-3%
crowded short, institutions cut last quarter
Communications Equipment (GICS)
+1.7
+0.7
+5%
+16%
shorts adding, institutions added last quarter
Regional banks
+1.6
+0.9
-3%
+4%
institutions added last quarter
Asset Management & Custody Banks (GICS)
-1.5
+2.0
+4%
-1%
crowded short
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
5 uncovered
26 sub-industry baskets beside 55 hand baskets
5 sub-industries moved as a group this week and none of your 55 baskets covers them, so you had no way to see them. 2 of them are utilities (Electric Utilities and Multi-Utilities), which means you have no utilities basket at all. The largest move on the whole board is one of them: Electric Utilities (-3.9sd).
Electric Utilities93%-3.9
Multi-Utilities100%-2.4
Health Care Equipment94%-2.4
Building Products100%-2.1
Asset Management & Custody Banks92%-1.5
-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.