上周回顾
本周财经日历及财报日历
- 关键日期为9月13日CPI，9月20日-21日FOMC会议。
债市、汇市
- US10Y及DXY的形态均是risk off模式。
大盘及板块
- 市场维持risk off模式。
- ES阻力依旧为4100区域，极端情况也有可能再次测试4200区域。我们预期当前市场只是反弹，下跌还没有完成。
- 对于上周股市的反弹，彭博写了篇文章较好地描述了当前股市参与者的众生相：上周的主要买家是负gamma状态下的交易商（他们追涨杀跌）、CTAs（之前野村数据显示CTAs等趋势型资金在债券和股票市场“max short”）之类的空头平仓（一篮子做空最多的股票反弹幅度是整体市场的1倍）、算法量化驱动的波动率控制资金（Volatility control funds）。机构和散户资金都撤退了，剩下AI机器人大战，部分做空的只能先平仓。有些机构自己已经疯掉了，一边减仓，一边买call防止看错方向踏空。
市场情绪、资金流动
- Goldman Sachs said this past weekend that hedge funds had raised exposure for a second-straight week, which pushed notional trading to the highest level in a year. JPMorgan said net positioning has fallen back to the first percentile since 2017 for equity long/short net leverage, while hedge funds still remain defensively positioned. However, Morgan Stanley said they expected CTAs to cut equity exposure by $30B this week as momentum has tailed off after three weeks of declines. UBS also said the recent pullback in equities is likely to generate more selling pressures from CTAs in the coming weeks. The latest AAII survey showed bulls falling to 18.1%, the lowest since late April, while BofA's Bull & Bear indicator also fell back to zero after rising for the first time since April last week. BofA also noted US equities saw an $11B outflow in the week to 7-Sep, the most in 11 weeks.
大宗商品
- 原油CL反抽跌破平台87区域，下方周线级别支撑为79-77区域。
