저자: TomLee및JimCramer언급;본영상진행자OptionsMathCheck발언자미상 · 외국인
요약 보기
Tom Lee는 4월 저점을 맞힌 뒤 15~20% 조정 후 연말 7,700 상승을 전망하며, Cramer는 현 시장이 닷컴 버블보다 위험하다고 경고. CAPE 41.66(닷컴 이후 최고), CPI 3년래 최고, 금리인하 확률 거의 0, VIX 17이 배경으로 제시됨. 진행자는 SPX가 60일 내 20% 하락(약 6,000)할 확률을 5%로 보고 옵션 풋 스큐를 근거로 하락 확률이 상대적으로 높다고 분석하나, 연말까지는 상방 확률이 더 높다고 봄. 기본 시나리오는 변동성 구조 유지, 백워데이션 전환 시 하락 확률 상승.
다듬은 글
The markets are at all-time highs, but two of Wall Street's loudest voices are flashing very different warnings. Tom Lee, who nailed the April bottom, is now calling for a 15 to 20% pullback before a year-end run to 7,700, just shy of where we're at now. Jim Cramer says this is worse than 1999 with gains dangerously concentrated in semiconductors and the weakest market breadth since the dot-com era.
The data's hard to ignore. The cyclically adjusted price to earnings or Cape ratio is at 41.66, only eclipsed during the dot-com bubble, after which it took the S&P 12 and 1/2 years to recover. CPIs are at 3-year highs, rate cuts odds are at near zero, the VIX is at 17, and we ask, is this the most mispriced number in the market right now?
Let's check it out on this edition of Options Math Check. What a time to be alive in the markets here. The S&P 500 is hovering around 7,400, and the Nasdaq is just shy of 30K. We've got the chart here of SPX pulled up, and I mean, I I can't believe the rally we've seen, but I also can't believe that we will drop 20% from here on out.
I just don't see it, and I think the numbers sort of support that thesis, but we're going to dive in, and we'll walk through SPX, and we'll walk through NDX, too. I was actually shocked to see some of these numbers in NDX because my thought was initially I don't think we're going to see a 15-20% pullback in the S&Ps because a 15-20% pullback would bring us to about 6,000.
If you take, you know, 7,300, move the decimal, multiply it by two, it brings you to about 6,000, which is below the low that we saw during the war situation. So, what sort of catalyst could bring us lower than that? I'm really not sure. Uh obviously, I don't know, but I also don't think the volatility structure is telling us that we should be thinking that that is going to happen.
Um and when we when I say the volatility structure, I'm really talking about the vol futures here. So, even today, we had the SPX markets down 50-60 points, the Nasdaq was down even more, but the volatility structure is not moving. Vol is at 20. It's been sitting here for quite some time. And most importantly, we have a pretty decent contango now between these contracts.
So, a contango is just when the near-term cycle is less expensive than the next cycle. So, M is less expensive than N, and N is less expensive than Q. This is your normal volatility structure, and when we are in a steep contango, you tend to see the markets drift higher. You'll have your bouts of volatility like we've seen over the last couple days, but the fact that we were down pretty big today and the and volatility was just ignoring it, I think uh is further emphasis on the fact that we shouldn't expect too much craziness at least right now.
If the market continues to sell off dramatically day after day, then of course, the vol structure will change. We'll sell off to for from 7,300 to closer to 7,000. And if that happens quickly, then anything's on the table. But as of right now, the market is ultimately ignoring this near-term sell-off we've had, and the vol structure is not really changing.
Let's take a look at the probabilities though. So, in SPX, again, a 20% sell-off uh would bring us around 6,000. So, if we look at July, middle of the year, 60 days out, the 6,000 strike doesn't have that high of a probability at all. I'm have to scroll quite a bit here. Um but the 6,000 strike trading for 1,500 bucks, 5% probability of being in the money.
If you look at the upside, the upside's even more interesting because there's like no premium here and no probability that we get up there over the next 60 days, which I think is is fair considering we've already had a massive rally from the lows. But, about 13, 1400 points to the upside would bring us around 8500, 8600, and you can see, I mean, this is basically a 0% probability being in the money right now, and the option price itself only trading for 50 cents relative to the downside that's trading for $1500.
That just shows you that the market is pricing in put skew to be here to where if we were to see a move in the money, it would likely be to the downside because uh the market would just be crashing at that point over 60 days to get down 20%. So, uh probability is saying, uh not that crazy uh to the downside, only 5%, but plenty of premium there.
Uh but you're you're almost always going to see that in SPX, especially in a 30 to 60-day cycle. You're going to see plenty of put skew in those markets. Uh looking further out in time, I think is really interesting because we basically have zero premium on the upside, $1500 to the downside. If we look at those same strikes for the end of the year, the 8600 to the upside and the 6000 strike to the downside, you have a much higher probability to the upside now, 11%, and you've got plenty of premium here, $4500.
You do have to conquer the fact that SPX does price in interest rates. Um and the the ultimate dividend for something like SPY, uh these things factor into the options pricing, but um you're still getting plenty more premium to the downside. Uh and a lot of a lot more uh in terms of probability being in the money, but these are almost equal when you look at the probability of being in the money, which I think is interesting.
So, the 6,000 strike at a 16% probability of being in the money and a $9,500 premium, way less of a dispersion between the premium itself and almost no dispersion on the in the money probability. So, in the near term, the market is telling us, yes, if we were to see a move, it's still unlikely, but if we were to see a move, we are going to place that emphasis to the downside because over the next 60 days, if we're going to if we're going to move 20%, it's probably going to be to the downside just by the time factor alone and how quickly that would have to happen.
But, on the upside over time through the rest of this year, there's a a much higher probability that we get up to 8,600 in December relative to the next 60 days. And real quick, NDX, so I was like, maybe NDX would show us something different because it's so concentrated in the tech stocks inclusive of the semiconductor space that has had that rally.
But, we're not really seeing that either. So, let's just call it 30k in the Nasdaq or NDX. 20% up or down would be uh 23k to the downside, 36k to the upside. End of the year, you're seeing almost very similar things. So, 36k to the upside, 9% probability, 23k to the downside, you've got uh an 18% probability.
Way more premium to the downside though. So, this market in particular I think is showing more teeth and more of a probability that we could get there specifically because this is way more concentrated and I think most importantly, it does not include the energy sector. And the S&P 500 is going to stay have a better time staying afloat or an easier time staying afloat cuz you've got crude oil at 100.
You've got natural gas that has its seasonality, maybe that starts to rally up too. But, if crude's at a hundred, I think the S&P has a harder time selling off because if crude keeps ripping higher, it kind of offsets the sell-off in the equity market if we were to see it. But, real quick, 2300 or 23,000 in July in NDX, the concentrated sector, 6% probability of of in the money there, $7300, and then 3600 to the upside, basically worthless, relatively worthless compared to the premium, but again a near zero probability to the upside and way less premium than the downside.
So, long story short, market's telling us if we're going to see a 20% move, there's way more probability that we see it to the downside based on the probability itself, but also based on the premium that is there with the put skew. But, as you go further out in time, you start to see the upside probabilities gain, uh and that's especially apparent in the SPX market.
So, I got to say I got to fade the 15 to 20% call to the downside um given the probabilities, but these things can change on a dime. So, if we do continue to see continuous sell-offs in the market, we should expect to see the vol curve flatten out. If it goes into backwardation, that's when for me the door opens for a greater sell-off, and that's when those probabilities will really start to kick up to the downside. .
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