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  • 2024-1-16, Positioning, Flows, Sentiment

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    tolof32407
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    This document provides an overview of market positioning, flows, and sentiment across various asset classes including equities, fixed income, options, commodities, and systematic strategies. It analyzes changes in price, open interest, net flows, volatility, and other indicators to assess positioning and sentiment in markets like equity indexes, government bonds, futures contracts, and commodities like oil and gold over the past four weeks. Metrics on cross-asset volatility, market sentiment indexes, and hedged currency yields are also included.

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    Positioning, Flows, Sentiment report

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    This document provides an overview of market positioning, flows, and sentiment across various asset classes including equities, fixed income, options, commodities, and systematic strategies. It analyzes changes in price, open interest, net flows, volatility, and other indicators to assess positioning and sentiment in markets like equity indexes, government bonds, futures contracts, and commodities like oil and gold over the past four weeks. Metrics on cross-asset volatility, market sentiment indexes, and hedged currency yields are also included.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    5 views5 pages

    2024-1-16, Positioning, Flows, Sentiment

    Uploaded by

    tolof32407
    This document provides an overview of market positioning, flows, and sentiment across various asset classes including equities, fixed income, options, commodities, and systematic strategies. It analyzes changes in price, open interest, net flows, volatility, and other indicators to assess positioning and sentiment in markets like equity indexes, government bonds, futures contracts, and commodities like oil and gold over the past four weeks. Metrics on cross-asset volatility, market sentiment indexes, and hedged currency yields are also included.

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    © All Rights Reserved
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    of 5

    16/01/2024

    POSITIONING, FLOW, SENTIMENT


    CROSS-ASSET

    EQUITY
    FIXED INCOME

    Market positioning in RX contracts based on changes Sector-wise 4w net flow in Bunds (10y duration
    in price and open interest equivalent) for the past four weeks

    Market positioning in TY contracts based on changes in 10y (TY) futures net positions by trader type
    price and open interest

    Net Japanese investments in bonds abroad Current 4w std. normalised sector-wise net flows into EGBs
    OPTIONS, VOLATILITY, SENTIMENT
    Cross-asset volatility

    Market sentiment indicator (MSI)


    COMMODITIES
    Gold – Strong long liquidation (Price down, OI down,
    WTI – Strong long building (Price up, OI up, Vol up) Vol up)

    SYSTEMATIC STRATEGIES
    RAZNO

    Yield pick-up on foreign bonds for euro area investors on


    a hedged currency basis

    Futures liquidity estimate

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