Markets Correct into Quarterly Expiry

In this week's Macro Insight I discussed...

High inflation prints, Hawkish FED members, tighter monetary policy and higher taxes are all macro headwinds that have made many bank strategists call for a correction in markets between now and year-end. COVID scarring and a longer path to herd immunity are also factors to consider.


Since breaking below 4500 last week, volatility has increased and markets have been more choppy due to less long gamma positioning. The customary sell off for expiry seems to be taking place. There seem to be a bearish consensus forming as bank strategist flag many reasons to be worried. Given that skew is so steep and the VIX is elevated vs realised vol, I see the scenario that will surprise more people to be a sharp rally to 4800-5000 on SPX.

A look at the key macro data points over the next 6 weeks.

FX has been very rangebound and yields are stuck due to the competing forces of higher inflation but weaker labour market and slowing growth. We don’t expect US 10 Y yield to break significantly higher due to relative yields vs other regions attracting foreign buyers.

Oil markets breaking higher on inventory drawdowns, better COVID case data and supply disruption in the Gulf of Mexico. Uranium also on tear as it’s caught the attention of the Reddit retail army after Sprott ETF increased buy program.


Filmed on on Tuesday 14th September 2021.




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