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Nomura Warns Of Imminent “Inflection” Point In Stocks AMID ‘Easiest’ Financial Conditions Since Pre-COVID Collapse

Courtesy of ZeroHedge View original post here.

With bond yields glued near record lows and stocks soaring back to (or beyond) record highs, The Fed's mammoth efforts have "succeeded" in driving US financial conditions to their easiest since February…

Source: Bloomberg

As Nomura's Charlie McElligott notes, this has been the key macro factor input behind the collapse in cross-asset volatility, and in turn, the vol wipeout has acted as an accelerant to the risk-on trade in standard "tail wags the dog" market-structure fashion.

This has also driven re-leveraging of “vol control”-type strategies, with the Nomura QIS CTA Trend model’s estimated portfolio gross-exposure back to “pre-shock” levels and a remarkable 92.3%ile rank since ‘11

And Nasdaq options delta (exposure) back to 96.7%ile since 2013

And so with all this rebound in buying and short-covering, what could go wrong?

Nomura's McElligott has a warning.

It’s worth noting, he concludes, that the monthly VIX expiration is tomorrow, which many times over the past year-plus has marked a local / tactical inflection-point in Equities…

perhaps marking a short-term bottom in Vol…

The question is, of course, just how quickly any post-VIX-expiration dip is bought back to highs.


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