rates +0.9sd, growth -0.0sd this week; growth -0.0sd is 0.73sd short of the 0.75sd band; 13-week trend: no trend (rates +2.0sd, growth -0.0sd per quarter); curve shape unchanged over the month
Leading now
Crude tankers *3 of last 4 wks up+2.1
driver confirms · shorts adding · XLI vol up
Product tankers *3 of last 4 wks up+2.4
shorts adding · XLI vol up
Cruise lines *new+2.7
driver contradicts · shorts adding · XLY vol down
Truckload, LTL and brokeragenew+2.5
driver contradicts · XLI vol up
Look at
Truckload, LTL and brokeragenew+2.5
driver contradicts · XLI vol up
Advanced packaging and test2nd wk up+1.7
shorts adding
Hotels, Resorts & Cruise Lines (GICS)reversal+2.2
institutions cut last quarter · XLY vol down
Driver moved first: Title and mortgage insurance (30y mortgage rate +3.8sd, basket flat); Homebuilders (30y mortgage rate +3.8sd, basket flat); Regional banks (2s10s +2.0sd, basket flat)
Move out of
Financials (sector)4th wk down-1.2
Real estate (sector)5th wk down-0.9
Aerospace aftermarket3 of last 4 wks down-2.3
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. The dollar firmed.
7 baskets moved with no clean pattern by style, which reads as stock-specific rather than regime.
The most unusual move is Agricultural inputs at -9.7sd with 83% of members down. Its drivers disagree (DBA -1.0sd, Maize (IMF) +1.2sd, Wheat (IMF) +2.2sd, Soybeans (IMF) +1.3sd). 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 28% a year while it has actually been swinging 14%, the largest overpayment of the eleven.
Rotation quadrant
undecided
rates +0.9sd · growth -0.0sd
Neither axis moved enough to name a regime, so there is nothing to call yet. Growth came closer than rates (-0.0sd) 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+0.7
XLC-1.0
XLY-0.2
XLF-1.2
XLI-0.1
XLB-0.9
XLE+0.4
XLV-1.4
XLP-1.3
XLU+0.3
XLRE-0.9
Sectors: each ETF’s week vs its own normal week.
Rates and curve
6 moved
5 up, 1 down of 12, about 5 by chance
More rates series moved than chance explains: 6 of 12 against about 5 in a quiet week, 5 up and 1 down. The biggest was 3m bill (-2.4sd).
nowa month agoa year ago
Yields by maturity, today vs a month and a year ago.
3m bill-7bp-2.4
3m10y+16bp+2.2
2s10s+9bp+2.0
30y Treasury+12bp+1.8
-3sd0+3sd
Bars: this week’s move vs a normal week for that series; grey band = noise.
Credit, liquidity, risk
9 moved
6 up, 3 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.
CCC OAS+74bp+4.0
WTI+12.82%+1.7
BBB OAS+5bp+1.7
HY OAS+17bp+1.5
IG OAS+4bp+1.4
WTI-Physical, managed money-21.84%-1.3
Broad dollar+0.68%+1.1
Gold, managed money-5.55%-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
15 moved
8 up, 7 down of 82, about 11 by chance
More baskets moved than chance explains: 15 of 82 against about 11 in a quiet week, 8 up and 7 down. 8 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
all known
1 group found
The one group of stocks that moved together is one you already have a basket for (Natural gas producers), so nothing new was found.
Natural gas producers-7.0sd
ALHC AR CNX CRK CTVA EQT EXE GPOR RRC VKTX
Stocks that moved together this week, found without the basket list. Thin bar = how tightly; short = probably noise.
Options market
calm
VIX/VIX3M 0.85 (-0.3sd 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 0.85). Options on communication services are priced as if the sector will swing 28% a year while it has actually been swinging 14%, the largest overpayment of the sectors here. Only 5 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
28
-2.8
14
+14
Industrials
24
+2.1
12
+12
Consumer staples
18
+1.1
8
+10
Materials
24
-1.6
15
+10
Utilities
25
+1.2
16
+9
Financials
18
-0.3
10
+8
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
12 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 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 15 September, about 2 weeks 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
-9.7
+1.0
+9%
shorts adding
Cruise lines
+2.7
-0.3
+8%
shorts adding
Product tankers
+2.4
+0.4
+8%
shorts adding
Hotels, Resorts & Cruise Lines (GICS)
+2.2
-0.1
-1%
-2%
institutions cut last quarter
Crude tankers
+2.1
+0.7
+11%
shorts adding
Cybersecurity
+1.9
-0.6
+5%
shorts adding
Communications Equipment (GICS)
+1.7
+0.6
-8%
+8%
shorts covering, institutions added 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
27 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 Hotels, Resorts & Cruise Lines (+2.2sd), and it fell short because one of your own baskets already covers it.
Hotels, Resorts & Cruise Lines (closest)88%+2.2
Communications Equipment (closest)67%+1.7
-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.