November 14 Market-wide option strategy scan
The biggest macro event this week is the leadership meeting
1. Key notes:
① International macro:
The most critical thing this week is the leadership meeting. We are currently at a macro crossroads, involving many new geopolitical developments. Although most mainstream media are currently optimistic, I am still neither happy nor sad.
Frankly speaking, most of the time we are optimistic or pessimistic (even as institutional investors) in this kind of big macro time. Our butt determines our head. Just flip a coin with a chimpanzee. Neutral prediction is relatively more rational. Pay attention to the antifragility of your positions.
② Domestic macro:
Yesterday, China’s social finance data was not good. Although the total amount slightly exceeded expectations, the vast majority of the structure came from the expansion of government debt, while the social and residential sectors were particularly sluggish. This reflects that the sentiment on the demand side of the economy is still pessimistic, and it is currently one of the reasons for the previous trillions of special government bonds. Indeed, the releasers of follow-on leverage seem to point toward the center.
③ Mosaic:
The market has seen some slight declines, but the big pie is fortunately flooded with copycats (Figure 1). At present, the main trend is still in the big pie. The 5W covered call strategy recommended before has a floating profit of about 12% (Figure 2). At present, it is still in a strong position and is suitable for some proportional spread or ladder spread strategies. Friends who play copycats should pay attention to the risks. The current market as a whole is not in a bullish stage. If you don’t have a particularly deep understanding of the market, the overall profit and loss ratio of playing copycats will be average.
④ US stocks:
This week the market will focus on the release of the US CPI index at 14 Nov 21:30 (UTC+8) and the PPI index at 15 Nov 21:30. There was also a correction in the index yesterday. Both MSTR and COIN fell slightly, and the market trend was relatively weak. It has risen a lot in the short term, and the correction is normal. For an analysis of the trend of the broad-based index in the medium and long term, please see my weekend article "Expectations of Federal Reserve Interest Rate Raise";
⑤ A shares:
Yesterday, the A-share market first declined and then rose. It was still a structure in which micro-cap stocks and the CSI 2000 Index led by a large margin, while the CSI 300 and SSE 50 Index underperformed significantly. Recently, many institutions and self-media have written reports saying that the current grouping of micro-cap stocks can be compared with the "Mao Index" grouping in 2021. From a sensory perspective, the extreme market style of "nothing else" except micro-cap stocks should indeed be alarmed.
It is unpredictable when this situation will end, but in the case of recent measures such as DMA restrictions and quantitative high-frequency restrictions. Similar to the beginning of 2021, as long as there is an extreme grouping, the short-term impact caused by loose chips will be magnified. Therefore, we should pay attention to whether micro-cap stocks show signs similar to "killing one white horse a day". On the other hand, pessimistic macroeconomic expectations are also the direct reason. As mentioned before, if A-shares really want to start a larger market, the 300 and 50 indexes must continue to lead, because this represents a change in expectations. Therefore, I still allocated a relatively large position (about 30%) to 300 in this round of allocation.
⑥ A-share option volatility:
Finally, look at the options market. The call-put ratio of options related to the CSI 300/Shenzhen 100/SSE 50 index rose to 1.6 again after two days of slight decline. As I said before, this most likely means that the RV will start to expand.
According to my previous judgment, the probability of continuing to fall to the lowest level of the year in July is relatively small. On the one hand, after the partial knock-in of the snowball in October, some buyers may be missing, which will weaken the pressure wave force. On the other hand, the current macroeconomic expectations have not changed. Not falsified. (See Figure 4)
2. Specific operations:
① US stocks
The TLT we are concerned about fell slightly, so I added some end-of-month sell put (see Figure 3) for $85. Now the IV is still over 20%, which is relatively cost-effective, and it doesn’t matter if you don’t operate it. In order to keep a closer distance from the market, I do more operations. Everyone depends on their own investment and trading habits.
②A shares
Yesterday I sold some 300 Puts for the end of this month, but I haven't done anything else. I suggest you focus on spot goods.
③ Mosaic
Some new strategies were updated yesterday.