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Charts & Reports
Charts & Reports

Weston NakamuraVisionary
Real Vision Exchange Manager, Programming and Community Engagement

2 Credit Suisse Earnings Plays (1 long term risk, 1 outright gamble)

Credit Suisse (US ADR: CS) - the institution that has taken all the status and glory out of being able to say “I have a Swiss bank account...” will report their (lack of) earnings before EU market open tomorrow. Figures will be bad, and likely already priced in and not what I’m looking at. I’m looking to play their Archegos position unwind.

My (completely wild) guesses are as follows:

•CS’s prime brokerage has been taking their sweet time getting out of VIAC & DISCA - the lower they dump shares, the bigger the earnings & already badly damaged reputation hit. Morgan Stanley was largely out of the position by the following Mon after the famous Friday massacre, Goldman (the massacre creator) took like 3 hours to get out. CS was apparently shopping block trade offers as recent as last week. There’s a reason VIAC & DISCA stock charts are an incredibly mechanical looking 45 degree straight steady line down- CS is unloading on an algo, but no buyers = prices drifting ever lower.

•CS HAS to get out of any residual position by close today, lest they get asked question #1 conf call where they are with the unwind, and they either have to lie & commit a crime, or they have to say “were still long” and crush the market for those shares upon themselves.

Therefore:

TRADE 1: LONG VIAC & DISCA

IF and ONLY if VIAC and / or DISCA were stocks you wanted to own for long... (More)

Weston NakamuraVisionary
Real Vision Exchange Manager, Programming and Community Engagement

VIX Expiry at Market Open Today & SPX weakness

Apologies for the late heads up - April VIX expiry at market open today (last trade date yesterday).

VIX 2m - 1m spread had once again widened over the course of the last 2 weeks or so, though not as wide as the Feb-Mar or Mar-Apr spreads were upon their respective expirations.

For those unfamiliar, over the past several months I have been tracking the front end of the VIX futures curve (spread difference between 2nd month - front month VIX), and found that repeatedly and remarkably consistently, as the VIX 2m-1m spread widens, SPX ↑. And when the spread contracts, SPX ↓. The spread is usually a positive number, which makes sense (more uncertainty 2 months out than 1 month, so 2m VIX should be > 1m VIX). Should the spread not only narrow, but go so far as to cross into negative territory, where the front month VIX > 2m VIX, thats when you see -2%, -3% more on 1 day SPX. Negative spread & SPX ↓makes sense, as it implies more (and sudden/ unexpected) uncertainty imminently than there is 2 months from now.


Prior expiry dates: VIX 2m-1m vs SPX. Note the sharp widening of the spread coinciding with SPX ↑, then spread collapse upon expiry for SPX pullback.

Past few weeks saw spot VIX finally break below 20, first time since March ‘20 havoc. Much of this was the record speculative call options open interest and premium fading out of the markets (ie- reason VIX had... (More)

Weston NakamuraVisionary
Real Vision Exchange Manager, Programming and Community Engagement

Following my last 2 day’s notes on BTC price drivers at moment/

see these 2 notes from y’day ss  Sunday 
BTC: How I analyze market price action at this moment (and how to NOT: ❌China ❌hash rate drop)
+
 BTC drop compared in USD & J

Monex Group’s shares are the best listed BTC proxy. The entire Japan online brokerage stocks are down today on price cut headlines. This downside put an abrupt halt on the BTC recovery, and reversed BTC back ↓ 

 

Here’s another view, which includes overnight japan hours where BTC was recovering, and gave that up at Japan cash equity market open:

Craig P
Independent Macro/Vol/Crypto/Quant/Fintech Nerd

SPX Closing at All Time Highs vs VIX Levels

I saw this model in a recent Goldman report and thought I would try and build it out/ play around with it. 

This chart is essentially showing how the VIX is hitting lower levels each time SPX is closing at a new all time high, which is a trend we haven't really seen since 2017. 

According to the GS report, this could be similar to price action (highlighted in green) during the build up of the 1998 crash . 

Blue: SPX closing at ATH.      Green: ATH between 1997-1998    Orange: ATH in 2021    
Blue: SPX closing at ATH.      Green: ATH between 1997-1998    Orange: ATH in 2021    

Just to try and one up GS, I plotted those dates on to some normal charts to give it more context. You can see the similarity a lot better when it's plotted over the VIX. 

Same GS dates plotted on SPX.

 

Bonus Chart: 

It's apparently pretty rare for the market to hit a new all time high when the VIX is above 20. Hasn't happened since the build up of the tech bubble. 

So far so good? 
So far so good?