美股-量化策略-12月至2020年3月美國股票期貨展望

1、US Equity Futures Rollover OutlookDecember 2019 - March 2020Global Quantitative & Derivatives Strategy 09 December 2019Equity financing is surprisingly cheap given year-end seasonality and markets trading at record highs; however, we believe the futures rolls poised to richen as for financing over y

2、ear-end ramps during the roll and runs into constrained dealer balance sheetcapacity.There is significant risk of a funding squeeze into year-end this due to dynamics and the exit a large dealer from the equities business earlier this year. However, a couple of mitigating factors could limit the ext

3、ent a squeeze: relatively light positioning and increased provision balanceGlobal Quantitativeand DerivativesStrategyBram Kaplan, CFA AC(1-212)272-1215 HYPERLINK mailto:bram.kaplan bram.kaplan Marko Kolanovic, PhD (1-212)622-3677 HYPERLINK mailto:marko.kolanovic marko.kolanovicJ.P. Morgan Securities

4、 LLCsheet Canadian banks and investors. Should we see a squeeze,this may open opportunities investors to monetize the rich financing rates over year-end, example selling March 2020 500 futures or short a S&P 500 swap versus buying the market in cash (fully-funded) viaETF.Given the improvement in pos

5、itioning, moderate current implied financing levels and year-end risks, believe the rolls (including MSCI EM EAFE contracts) are all biased towards richening into expiry, recommend rolling long positionsearly.The rolls market risk due to ongoing US-China trade negotiations, as a breakdown in talks c

6、ould futures demand to and pressure the roll. see interest rate risk due to volatility in the basis and in case a surprise at the December FOMC meeting, and dividend risk on the S&P 500 and Nasdaq rolls due to uncertainty AVGOsdividends.In the Special Topic section we how equities impact G-SIB dynam

7、ics, which contributes to the risk of a fundingsqueeze.Following the roll discussion, present an overview of volume trends global equity and equity-linked markets. The back section of the report contains detailed roll statistics the S&P 500, Russell 2000, Nasdaq 100, S&P 400, MSCI EM, and MSCI EAFE

8、indexfutures.Roll cost progression for the S&P 500 Dec 2019-Mar 2020 futures roll Euro$ Sep-DecPast 1 Y Avg (vs Euro $)Dec/Mar Roll cost (vs Fed)Dec/Mar Roll cost (vs E$)70IFRIFRSpreadbpsRich/Cheap5040302010027 25 23 21 19 17 15 13 11 97531Trading Days to ExpirationSource: J.P. Morgan Equity Derivat

9、ives Strategy, BloombergSee page 37 for analyst certification and important disclosures.J.P.Morgandoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatmay a of the of as a HYPERLINK / Table of ContentsTOC o 1-2 h z u Current QuarterlyRollEnvironment HY

10、PERLINK l _bookmark0 3Overview HYPERLINK l _bookmark1 3RatesOutlook HYPERLINK l _bookmark5 6S&P 500 Roll DynamicsandPositioning HYPERLINK l _bookmark7 7S&P500Dividends HYPERLINK l _bookmark15 11Russell 2000 and Nasdaq100Rolls HYPERLINK l _bookmark17 12MSCI EM andEAFERolls HYPERLINK l _bookmark22 15S

11、pecial Topic: Regulatory constraints and the risk of year- end funding squeezes HYPERLINK l _bookmark28 RollDataSummary HYPERLINK l _bookmark33 23Equity-LinkedMarketTurnover HYPERLINK l _bookmark34 27Americas EquityLiquidMarkets HYPERLINK l _bookmark35 28Europe EquityLiquidMarkets HYPERLINK l _bookm

12、ark36 30Asia-Pac EquityLiquidMarkets HYPERLINK l _bookmark37 32Appendices HYPERLINK l _bookmark38 34Appendix 1: BasicRollConcepts HYPERLINK l _bookmark39 34Appendix 2: Roll Cost Expressed as ImpliedFinancingRate HYPERLINK l _bookmark40 35Current Quarterly Roll EnvironmentOverviewEquity financing has

13、 been surprisingly cheap so far given year-end seasonality and with markets trading at record highs; however, we believe the US rolls are poised to richen as demand for financing over year-end ramps up during the roll and runs into constrained dealer balance sheet capacity.As we discussed in our Sep

14、tember US Equity Futures Roll Outlook, there is significant risk of a funding squeeze into year-end this year both due to the GSIB dynamics discussed in the HYPERLINK l _bookmark29 Special Topic section, as well as the announced exit of a large dealer from the equities business in July that reduces

15、the aggregate amount of balance sheet the Street can provide to equity financing markets.However, there are a couple of mitigating factors that could limit the extent of such a squeeze: relatively light positioning and increased provision of balance sheet by Canadian banks and buy-side investors. We

16、 have argued through much of this that positioning among macro investors/futures users has been relatively light, reducing the demand equity financing. While positioning appears to have improved over the past quarter, it remains much lighter than in late 2017/early 2018 when we had the last funding

17、squeeze (see the Positioning section). For example, dealer short futures positions are just over half of their peak notional value HYPERLINK l _bookmark2 (Figure HYPERLINK l _bookmark2 2). Meanwhile, the Canadian banks have been able to absorb some year-end stress in the past by deploying their bala

18、nce sheets, since their fiscal year-end is in October. A number of cash-rich buy-side investors have also opportunistically stepped in to provide balance sheet to financing markets in recent years in order to collect these elevated funding spreads. For example, we flagged these opportunities to clie

19、nts during the financing spikes in 2014 and 2017, and the 2017 squeeze, we believe more investors are now monitoring these conditions and ready to step in when opportunitiesarise.At the time of writing, no meaningful funding stress is yet apparent, likely in part due to the mitigating factors discus

20、sed For example, the Dec-Mar S&P 500 futures roll is currently trading 26bps rich to Eurodollar-based fair value, which is just 12bps richer than the last two rolls, well below the typical 30-40bp average spike in Q4 weve seen in past years (see HYPERLINK l _bookmark32 Figure 43 in the Special Topic

21、section).However, once the Dec-Mar futures roll begins in earnest and we see a surge in demand for equity financing over year-end as the $500Bn of US equity futures outstanding get rolled from Dec to March, we believe limited dealer capacity will become a constraint for the market, causing financing

22、 rates to rise. Our econometric roll trend model also predicts a richening trend (see below).This may open opportunities for investors to monetize the rich financing rates over year-end. Should this opportunity arise, investors who want to take advantage of a dislocation in equity financing rates in

23、to year-end can sell March 2020 S&P 500 futures or go short a 2M S&P 500 swap versus buying the market in cash (fully- funded) via ETF. Positions can then be held until expiry of the future or swap, or potentially be unwound early next year while capturing most of the excess performance, once the ye

24、ar-end balance sheet premium is priced out of equity financing rates.Figure 1: The S&P 500 futures roll is trading rich to FV, but at a considerably smaller premium than in past December rolls S&P 500 futures volume weighted average roll cost in thequarter*(vs. 3M LIBOR, annualized)806040200-40Mar-1

25、2Sep-13Mar-15Sep-16Mar-18Sep-19Source:J.P.MorganEquityDerivativesStrategy.*Dec-19showscurrentrollcost,notVWAPFigure 2: Dealer net short positions in S&P 500 futures increased since August, but remain 45% below peakNet Dealer S&P 500 Futures Positions ($Bn)50Net Dealer S&P 500 Futures Positions ($Bn)

26、250-25-50-75-100-125-150201420152016201720182019Source: J.P. Morgan Equity Derivatives Strategy, CFTC, Bloomberg. Latest point as of 12/3/19Ongoing trade negotiations between the US and China present risk to the roll. The market remains sensitive to progress on the phase 1 deal, as last weeks tweet-

27、 related volatility can attest. Theres a low probability (but high impact) chance that talks break down and/or the market responds poorly if the next tranche of tariffs go into effect on December 15th. In this case, we could see futures demand fall abruptly, leading to pressure on the roll.The roll

28、faces interest rate risk due to volatility in the LIBOR-OIS basis, and in case of a surprise at the December FOMC meeting. The FOMC shifted awayfrom its easing bias following the October meeting, and is expected to be on hold for the next few meetings. Both the rates market and consensus among Econo

29、mists no change in the December and January meetings, suggesting the December FOMC meeting only presents risk in case of an unlikely surprise. Additionally, any news that shifts Fed expectations could also drive market volatility, and thus impact the roll as investors rush for liquidity to implement

30、 new directional futurespositions.The LIBOR-OIS spread remained somewhat volatile and widened another few bps over the past quarter. Our Rates Strategists expect this basis to hold relatively steady around 35bps through year-end, and then compress to 20bps in the first half of next year. The wider L

31、IBOR-OIS basis biases the roll to trade cheaper vs. a LIBOR benchmark but richer vs. Fed Funds.AVGOs December dividend presents risk for both the Nasdaq and S&P 500, but otherwise we see limited dividend risk for the upcoming US index rolls (see the Dividend sections of each respective contract for

32、details).Figure 3: S&P 500 3M financing spreads increased as the 3M horizon crossed year-end, but remain seasonally cheapS&P 500 swap spreads (to 3M LIBOR)Figure 4: Last quarters roll exhibited a positive time-weighted trendRoll spread (index points)Richening trend of0.4bps/dayRichening trend of0.4b

33、ps/dayRoll TrendSep-Dec19 Roll Spread1.2%1.0%0.8%0.6%0.4%0.2%0.0%-0.2%-0.4%SPX 3M Swap Spreads SPX 1Y Swap Spreads2.502.252.001.751.501.251.0010987654321Jul-17Jan-18Jul-18Jan-19Jul-19Source: J.P. Morgan Equity Derivatives Strategy.Source: J.P. Morgan Equity Derivatives Strategy,Bloomberg.Trading day

34、s to expirationRoll Trend Model HYPERLINK l _bookmark4 1This quarter, our roll trend model predicts a richening trend into expiry of0.4bps/day (15bps in total over the two weeks into expiry), which is consistent with our fundamental view. Within the model, positioning variables improved vs. last qua

35、rter: dealers net futures positions became shorter over the past quarter (an8% shift as a % of OI), which suggests clients net long futures positions increased, and the SPY ETF recorded moderate inflows over the past couple of months. Risk aversion/sentiment and funding indicators also improved vs.

36、last quarter, as the VIX averaged 13.5 in the lead up to the roll (vs. 18.5 last quarter), and Financials CDS levels slightly decreased.Sep-Dec Roll RecapLast quarters S&P 500 futures roll spread generally increased alongside the markets rally and increase in rates, as both equities and rates reboun

37、ded from their technical- flow-driven sell-off in August. Given the increase in spot and rates both boost the rolls fair value (by increasing the number of interest points in the spread), the richening of the roll relative to fair value was modest, and smaller than the change in the roll spread leve

38、ls alone would suggest. In-line with our view, there were no strong moves or trends in the S&P 500 roll cost. The roll cost was virtually unchanged for the first week of the roll, but then richened 4bps for the first three days of expiry week before cheapening the final day into expiry. The S&P 500

39、roll traded at a volume-weighted average 13bps rich to Eurodollar FV, which was modestly higher than its starting point (of 10bps rich), and the VWAP roll spread of 2.23 was higher than the starting point of 1.5. The roll spread exhibited a positive time-weighted trend into expiry, vs. our models pr

40、ediction of a nearly flat trend ( HYPERLINK l _bookmark3 Figure 4).Russell 2000 and Nasdaq 100 RollsThe Russell 2000 roll is trading slightly rich to fair value, and at its highest roll cost in 1.5 years. Last quarter, the Russell 2000 roll cost was largely unchanged during the first week of the rol

41、l, but then richened during expiry week. While positioning appeared weak heading into the roll, a sharp style rotation into Value started during the roll and drove reallocation into and outperformance of small caps. This resulted in a significant improvement in Russell 2000 futures positioning (shor

42、t covering)just1 See our March 2013 and March 2016 US Futures Roll Outlook reports for details on the modelas the Sep roll was kicking off. We believe Russell futures positioning improved further over the past quarter (e.g. dealer positions moved net short by the largest margin in over a year). Ther

43、efore, we believe the roll is most likely to richen into expiry and investors should roll long positions early.The Nasdaq roll is trading slightly rich to the Eurodollar fair value, but cheap compared to its historical December rolls. Last quarter the NASDAQ 100 roll generally richened throughout th

44、e roll period, but cheapened slightly the final day before expiry. Positioning appears little changed for Nasdaq futures over the past quarter. We expect the Nasdaq roll to follow similar patterns to the S&P 500, as it commonly does. We therefore believe the roll is biased towards richening into exp

45、iry.MSCI EM and MSCI EAFE RollsThe MSCI EM roll is trading rich to the Eurodollar fair value and significantly richer than the last two quarters, but below its median roll cost over the past four years. The richening of the roll this quarter vs. last is likely due to the significant shift in EM posi

46、tioning that suggests increased demand for EM equity financing, and year-end seasonality/dynamics. Last quarter, the MSCI EM roll exhibited mixed trends, initially richening as the roll ramped up, then cheapening into the highest volume days, before richening more significantly during the final few

47、days as volumes began to taper off. Positioning in EM futures appears to have improved significantly this quarter (e.g. open interest, dealer shorts and speculative long positions all surged q/q to record highs), so we believe the EM roll is biased towards richening into expiry and recommend rolling

48、 longs early/shorts late.The MSCI EAFE roll has barely begun to trade, bid/offer is wide, and open interest on the December futures is close to zero, so there could be a sizable price adjustment to a tradable level once the roll spread begins actively trading later this week (as has occurred frequen

49、tly in the past). Last quarter, the MSCI EAFE roll exhibited a slight cheapening trend into the highest volume days, and was relatively well-behaved.Investor positioning in international developed market equities appears to have improved over the past quarter (e.g. dealer short positions surged to r

50、ecord highs). We thus believe the roll is biased towards richening this quarter, after a tradable level is established later this week.Rates OutlookThe roll faces interest rate risk due to volatility in the LIBOR-OIS basis, and in case of a surprise at the December FOMC meeting.The FOMC shifted away

51、 from its easing bias following the October meeting, removing its pledge to “act as appropriate to sustain the expansion” from the statement, given fading tail risks and signs of growth stabilization. Our economists now expect the Fed to be on hold for the next few meetings and then cut once more in

52、 2Q20, and for this weeks post-meeting statement to be little-changed vs. October. The rates market is also pricing in no change in the December and January meetings. J.P. Morgan Economists view is consistent with the consensus, with 100% of economists surveyed by Bloomberg predicting no change in D

53、ecember and 80% looking for the Fed to remain on hold in January. With no change both expected and priced in, the December FOMC meeting presents risk only in case of an unlikely surprise.The LIBOR-OIS spread remained somewhat volatile and widened another few bps over the past quarter ( HYPERLINK l _

54、bookmark6 Figure 6). Our Rates Strategists expect this basis to hold relatively steady around 35bps through year-end, and then compress to 20bps in the first half ofnext year given strong technicals (continued cash inflows to MMFs and moderate money market supply) and the pricing out of year-end G-S

55、IB surcharge dynamics.As weve discussed in the past (e.g. see the Special Topic here), dealers fund themselves through a variety of channels and tenors, and financing costs for these positions overall are a combination of LIBOR-linked and Fed Funds-linked rates. As a result, volatility in the LIBOR-

56、OIS basis can drive volatility in the roll financing rates. The wider LIBOR-OIS basis biases the roll to trade cheaper vs. a LIBOR benchmark but richer vs. Fed Funds.Figure 5: 3M Eurodollar futures vs. effective Fed Funds rate3M Eurodollar Future Rate3M Fed Funds implied Rate3M Eurodollar Future Rat

57、e3M Fed Funds implied Rate2.75%2.50%Funding RatesFunding Rates(%)2.00%1.75%1.50%1.25%1.00%0.75%0.50%0.25%0.00%2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019Source: J.P. Morgan Equity Derivatives Strategy, Bloomberg.Figure 6: 3M LIBOR Fed Funds basis widened over the past quarter and remained

58、 volatile3M LIBOR-FF basis (bps)603M LIBOR-FF basis (bps)5040302010020112013201520172019Source: J.P. Morgan Equity Derivatives Strategy, Bloomberg.S&P 500 Roll Dynamics and PositioningBased on our dividend assumptions (15.19 index points between the two expiries), the Dec 2019-Mar 2020 S&P 500 quart

59、erly futures roll is currently trading at an implied funding rate that is 26bps HYPERLINK l _bookmark8 2 rich relative to the Eurodollar financing rate and61bps rich relative to the Fed Funds rate.PositioningS&P 500 futures positioning appears to have improved over the past quarter, but remains ligh

60、ter than in late 2017/early 2018 when we had the last funding squeeze.In particular, we note the following positioning developments:Dealers net short positions in S&P 500 futures increased by 75% since September, but remain 45% below early 2018s record levels ( HYPERLINK l _bookmark9 Figure 7), sugg