Tom Lee’s Bullish Case: Why September Might Defy Expectations

요약 보기

9월은 역사적으로 약세 달이지만 S&P가 200일선 위에서 시작하고 고점 근처라 약세 징후는 없다고 봄. 9/16 연준 회의에서 금리 동결이 기본 시나리오이며 이 경우 시장 상승 가능성 제시. 연준 금리인상 확률이 3주 전 35%에서 50%로 상승, 동결 49%, 인하 0%. 엔화·유로·캐나다달러·호주달러 등 주요 통화가 달러 대비 강세로 달러 약세 신호. 옵션 시장은 내일 S&P 예상 변동폭을 약 40포인트로 반영하며 풋 프리미엄이 과도하지 않음. 금리 인하 시 달러 약세 가능성 언급.

다듬은 글

※ 자동 자막 원문(다듬기 전)

01. September is the worst month for stocks, historically speaking. It has been positive in only 44% of cases since 1950, the only month with a rate lower than a coin toss. Tom Lee thinks it doesn't matter this year . But I now think that with all these growing concerns, the market could surprise us with growth.

02. And I believe that September 15, the Fed meeting, may be a turning point. If the Fed neither cuts nor raises rates, which is our base case scenario, I think the markets could go up very much. Here is the Fed's position at the moment. The probability of an increase on the 16th is 50%. No change — 49%, and decrease — 0%.

03. Three weeks ago, this figure was 35%. Warsh spoke at Jackson Hole, and the value almost immediately increased to 50%. Now it's equivalent to flipping a coin. And now about seasonality. 44% of positive results since 1950 are true. But when the S &P enters September above its 200-day moving average, it turns positive 60% of the time, with an average gain of 1.3%.

04. The S&P entered the month within 1% of a record high. And there is no weakness here either. The first half of the month shows a median of plus 0.1%. The second half is minus 0.5%, and the Fed makes a decision on the 16th , right at this point. So, the worst month for stocks only becomes that when the market enters it with weakness.

05. There are a few things I'm checking right now, and I expect some interesting data tomorrow before the announcement on September 16th. So let's take a look at that in today's edition of "Options Math Check." We are on the platform and we will do it quickly. I think it's interesting. We have interest rates.

06. We can always look at the implicit interest rate here. If you look at the contract/SR3Z6, that's a special Chris Vecchio chip, but basically if you take 100 and subtract the current price of that product from it, you get the implied interest rate. And if you look here, today we see a significant increase in this price, which means an implicit decrease in interest rates.

07. Also, look at the Japanese Yen today. We see that the Japanese yen is going crazy today. But if you look at any of these currencies, you can see quite clearly the products that are moving significantly right now, especially 6J (up 2%, 2 and 1/4%), 6E ( up 1/2%), 6C (up 1/2%), 6A (up 1/2%). All of these products are quoted against the US dollar.

08. So, you are betting on the currency to rise and the US dollar to fall. All of them are rising today, with the Japanese yen leading by a wide margin. And finally, before moving on, this shows the weakness of the dollar. So, the Japanese yen is rising sharply against the US dollar, indicating the dollar's weakness.

09. Any other currency rising today also indicates dollar weakness. This is happening against the backdrop of interest rates, which we assume may be lowered. If we get a rate cut or several such moves, the US dollar usually weakens because you are not getting a high risk-free return on the dollar. So if a decline happens , it could be interesting for these markets, and it would be very exciting to watch.

10. But I think the main thing now is the S&P 500 index tomorrow. So, regarding the S&P 500 tomorrow : we expect important data at 7:30 AM Central Time. And we only have a 40- point expected movement for a one-day cycle. So, if we look at the movement today, we have a 72-point increase in the e-mini , which is 1%.

11. When you look at the expected one-day movement before the data release and ahead of the long holiday weekend, 40 points seems small, but it still implies some volatility: 13.8%IV for one day versus 9% for the following week—it's surprising to see such single-digit IVs. But I think it's really interesting.

12. When you look at the SPX and any S&P products, you usually see a downward slope in put options. So if you look at out-of-the-money options at 50 or 60 points, you will typically see a much higher price for the put compared to the call options. But here, one day before the event, you definitely see this put option slope .

13. If we look at 7740, the current price of SPX, and consider a 7700 put option at $8 . And if we look 40 points higher, for example at 7780, we will see an option for $6. So we don't see a two- to-one or three-to- one multiple where the downside premium is higher than the upside premium. In fact, we see a fairly flat curve and a fairly flat skew, all things considered.

14. So the market is telling us that the expected range is about 40 points, which is half of today's figure, and that's very interesting. But we have data coming out that could affect the SR3Z6 contract in different directions. I think that's what I'll be watching tomorrow to gauge where expected interest rates are headed, if they're headed at all. YouTube channel, and see you in the next episode of Options Math Chat.