Hey Matt - in your attached images, I see the 2 ES systems had trades in the past month but weren't sent out on the website or text etc. I'm wondering if this is from a change in parameters or something else was going on.

I fixed it for you.   

This?

Pretty big spike and reversal off that #.

Not yet.

I got the text at 10:40 eastern. There were 2 that came through at the same time. That one and URA65

If you click on the blue "Stats" button, they're all there.

75.33 last week. As far as I know, the only place to get it is from the website. I"m a NAAIM member and it's not like they send it out to us.

Here's the link:   https://naaim.org/programs/naaim-exposure-index/

VIX trading 61 now...hasn't been this high since covid. Crazy

Rotation or De-Grossing?

Given the very sharp, divergent moves of large cap tech and small caps yesterday and the fact that HF's were leveraged long into Tech and short small caps, it seems yesterday's action may have been more de-grossing than a true rotation - in other words, covering small cap shorts and dumping tech longs. 

If you buy this explanation, the question is, does it continue or is it over?

High Yield is ~95% of my business so I watch it very closely. When it trends, it trends very well (11/1/23 - 12/31/23) but when it doesn't, it's better to fade the range (all of 2024). One important factor to look at is option adjusted spreads. The best HY trend following trades happen as OAS compresses which shouldn't happen if the economy weakens. (and I think your take on the economy  is correct) Take a look at this chart of HY OAS. I see very little room for spreads to compress and a lot of room for them to blow out.

Rate cuts now even less likely.

Odds for a May cut now now nearly halved from 66% last week to 38% now. (Reading the inverse of the chart)

Goldman on Put/Call skew:   "We are now seeing extremely bullish options activity in the collective Mag 6 names (META, AAPL, AMZN, GOOG/L, NVDA, MSFT), something we’ve witnessed 5 other times in the post-covid era (we’re looking back 3 years for this). It is interesting to have a look at forward returns when we’ve seen this type of activity; the 2-4 week forward window skews towards negative returns. (From MenthorQ on Twitter yesterday)

Treasury 30 year bond auction. It went well

When I was listening to Steve last night on the newsletter I was wondering the exact same thing.  The a-b-c seemed to come a little quicker than your mapping. Given the "suddenly" poor bond behavior, an a-b-c within an A-B-C  might fit

Normally I'd say multiple job holders is the only way to explain it, but that's not what happened last month. Multiple job holders actually ticked down in Jan. So that ain't it. Something doesn't add up.

Non Farm Payroll Blowout

+353k jobs vs +157k expectations

I think you just happened to look when there was a bad data print. Currently showing just a 0.7% chance of 75bps in May.  13.9% chance of a hold, 51.9% chance of a 25bp cut and 85.4% chance of either 25 or 50.

Similarly: