저자: KirkAng · 외국인
요약 보기
Ray Dalio의 버블 지표는 현재 시장이 1929·2000년 버블 직전 수준의 과열(약 80%)이라 경고하지만, 버블은 강제 매도·긴축·부채 압박 같은 촉매가 있어야 터진다. VIX 15대와 변동성 선물 콘탱고는 안정적 상승 신호이며, 원유 백워데이션이 15포인트에서 2포인트로 줄어 전쟁 공급 충격은 해소된 상태. S&P500 7500에서 9000까지는 연말 7%, 2027년 말 25% 내가격 확률로 계산된다.
다듬은 글
Ray Dalio says today's market is at roughly 80% of the euphoria seen before the 1929 crash and the 2000.com bubble. His bubble indicator, which tracks sentiment, valuations, leverage, and speculative activity back to 1900, hasn't backed off that warning for 6 months. But Dalio's key point is that bubbles don't burst simply because they could or should or might.
They burst because investors need cash. Force selling, tighter monetary policy, or debt pressure is what pops the bubble. And he says none of those catalysts have arrived yet, and I think the market would agree. That's the tension though. History shows the final 20% of the bubble often delivers the biggest gains.
We could be in that period right now. Time will tell. But ultimately, what happens afterwards is usually a 20 to 40% crash. But the interesting thing is, if we get up from 7500 in SPX up to 8500, a 20% crash kind of just brings us back to where we were. So, it's an interesting thing to consider. But at the end of the day, the VIX is in the 15 handle, volatility futures are in contango, there's not much going on in this market that could shake it at least right now.
So, the question is, what's the probability of continuing another 20% to the upside from here? I think the numbers might be shocking, but we'll take a look in today's edition of the options math check. So, I've got this chart here of SPX. And uh as you can see, bottomed out at 6300 in the beginning of April, and it's been nothing but just straight up to the upside.
I've got Bollinger Bands on here, which is just an interesting standard deviation range for the activity. You can also see some moving averages here that I have, and they are everything's bullish, and we keep breaching the upside of the Bollinger Bands in SPX. So, I think it's kind of interesting that just to show you how bullish this run has been.
And it hasn't even been a question from these moving averages that I have on the screen here. But ultimately, I have to agree. I mean, I've been saying this for a little bit. I mean, the market is going to do what it's going to do, but what is one of the situations that we could see for the market to continue to rally even with a lot of these tech stocks at all-time highs.
You had Nvidia reach all-time highs, but it's come down. You've had hardware stocks and AI reach all-time highs, and they're kind of just fluttering up there. You had Dell report this crazy earnings. It was up way higher than it is now, but still a staggering 30% increase overnight just in one stock that it's Dell, like Dell from the 1990s.
It's crazy. Uh but you have other products, software sector reaching new highs for the day. Microsoft up 16 points, four 3 and 1/2%. Just over that. So, you could see these software companies that have been depressed rally up and kind of carry this market even higher. But really, I think the two things that I'm focused on are always going to be volatility futures.
So, volatility futures in a steep contango now. You got 1755 in the M contract, 1995 in the N contract. So, that is a two-point contango right there. And from the M all the way to the V contract, you're looking at almost five points now. It was four points of a contango like 2 days ago. So, the vol market is telling us that at least right now, all signs into a calm, cool, and collected market that does have some choppiness with a slightly elevated VIX above, you know, the average of 15, 16.
But at the end of the day, a steep contango tells us up into the right is generally what we could expect given the historical nature of volatility and and what happens when we get into these low teams in volatility. You kind of just see this grind higher in the S&P 500 from passive flows and just a lack of selling at the end of the day.
But, another thing that's interesting is the crude oil markets. So, crude oil is down 1% today. You saw we reached a high of like 105 a couple days ago and we have come down to sub 90 levels here. But, what's most interesting to me is the lack of backwardation. So, we talk about contango and VIX futures, the lack of backwardation in the crude oil markets is really telling to me.
This tells me that the war situation or the the supply and demand pressure that was created from the war in the Strait of Hormuz closing is basically gone. I mean, we've seen crude oil in backwardation for a while now. But, we had a 15-point backwardation at the height of the war. Now, it's only two points.
This is the the least backwardated I've seen this in quite some time. But, you still have some elevated numbers here. Uh and I think that's a little bit interesting, but again, if we're listening to volatility and we're listening to the rest of the market and just the fact that the E-minis and Nasdaq seem to be up every single day without question.
This is what? 7 days in a row now to the upside and we've gained 200 points. So, the question is, what is 20% additional movement to the upside here if we look at the end of the year? I think that's all we really need to do. So, 20% from 7,500 is 1,500 more points. That brings us to 9,000 in SPX and that's just by the end of the year.
Let's see what the probability is. I can tell you right now, the probability of getting to the upper bound of the expected move is 8,300, 8,450. So, 9,000 is really not all too far off and we we actually have 9,000 strike availability now in the December 31st cycle. But, looking at the probability being in the money, 7%.
So, by the end of the year, there's not much time left until the end of of year, all things considered, to get to 9,000 I should say. But, 7% probability of being in the money, 14% probability of touch, not too crazy, but uh of course, if we look further out in time, if we look to the end of next year, assuming that things are kind of just chopping around normal, maybe we get a 25 basis point hike, nothing crazy, uh the December 17th monthly expiration for 2027, 9,000 is the expectation.
So, I think uh and that's to the upside I should say. 25% probability of being in the money, 50% probability of touch to getting to 9,000 by the end of next year. I've seen a lot of people call for 10,000 SPX, uh 8,000 SPX, uh what have you. I mean, 8,000 was is within the expected move for this December, and 9,000 is at the expected move to the upside for next year.
So, I wholeheartedly agree. I mean, I think we would need to see some kind of catalyst in this kind of market. We are feeling the euphoria, I can tell you for sure. You got single name stocks just ripping higher, stocks that I never would have imagined that would rally like Dell. Like, I would have never imagined Dell would be up 300% on the year, but here we are.
Uh so, yeah. 9,000 by the end of next year, well within the probabilities. 9,000 by the end of this year, it's a stretch, but 7% is not zero. if you like this kind of content. We uh pump this out regularly. But, yeah, episode of Options Math Check.
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