Our consolidated measure of equity positioning continued to slide and is now back to the bottom of the post-GFC range (6th percentile, z-score: -1.06) and near the June lows, breaching the -1 std dev mark for a second time this year.
Discretionary investor positioning dropped sharply this week to the lowest since July 2020 (9th percentile, z score: -0.71), and is commensurate with a significant slowdown in macro growth (ISM Manufacturing at 46.5). The put/call volume ratio (5d ma) climbed this week to the top decile (94th percentile), as put volumes spiked to the highest since March 2020, outpacing call volumes, which also rose. Overall net call volumes (calls minus puts) declined steeply to negative levels, close to those seen in June. In single stocks, net call option volumes declined to the lowest since March 2020, driven largely by a sharp decline in calls, while put volumes increased modestly. - Deutsche Bank Strategy
**Report from 09/30/22
Comentarios