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Markets often become enamored with buzzwords, and the current favorite is “capitulation.” It is a frequent topic in financial media – I was asked about it last Thursday – and a highly relevant one. Capitulation occurs when investors seem to despair that stocks will never go up again. Understandably, that is an elusive concept to measure –and we’ll discuss some of the ways to discern it – but if everyone is looking for capitulation, it is less likely to arrive. Here’s the paradox – if everyone is looking for capitulation it is another way of trying to figure out when the market has bottomed. So if everyone is actively looking for a market bottom, it means that they haven’t thrown in the towel about stocks going up again. Thus, true capitulation only presents itself when people have stopped actively looking for it. Think back to early 2020, when the world was shutting down amidst Covid fears. Do you recall many discussions about capitulation during March of that year? I don’t. People were freaking out, liquidity was scarce, and stocks continued to plunge even after an emergency 50 basis point rate cut on March 3rd. The bottom was reached on March 20th, a few days after a further 1% cut at the regularly scheduled March 15th meeting. The fear was visceral, and the monetary response was drastic. Now ask yourself if either of those conditions are in evidence now? (Bear in mind that the Fed hasn’t even begun to reduce its balance sheet and short rates have only recouped about half their 2020 drop.) The lasting bottoms tend to be accompanied by extreme levels of the VIX index, usually above 40, with steep, parabolic backwardation in the VIX futures. We currently see VIX futures in backwardation, which reflects a relative shortage of available volatility protection, but with peaks in the low 30’s. In February we noted that the levels of backwardation that we saw in the wake of the Ukraine invasion were high, but not sufficient to demonstrate a lasting market bottom. Capitulation occurs when panicky traders will pay seemingly any price for volatility protection and the usual providers have seemingly stepped away from offering it. That leads to extreme spikes in near-term VIX, with a parabolic curve demonstrating that some participants are in real pain. The current bear market is quite unpleasant for many, but we don’t see the sort of existential fear that accompanies capitulation. Some have pointed to the rising levels of the put/call ratio as pointing to greater risk aversion. That is true to some extent – the ratio has risen quite substantially in recent weeks – but I view the rise shows that speculation via call options has been ebbing rather than a tremendous desire for hedges. Consider the chart below, which shows a five-year history of the S&P 500 Index (SPX) with the daily ratio of put volume to call volume across all options exchanges and the 21-day moving average of that put/call ratio. (I prefer to look at the ratio on a smoothed basis because it is highly volatile, with 21 trading days representing about one calendar month.) We see that while the ratio’s moving average is approaching historic peaks, those peaks don’t always correspond to market bottoms. More importantly, the ratio has only now begun to trade at the levels that were considered normal in the pre-Covid environment. Individuals (and many institutions) became enamored with call options as a vehicle for speculation, and it is clear that their love is abating. Thus it is reasonable to assert that the level of the put/call ratio is asserting far greater risk aversion than several months ago, but it is not showing the fearful peaks that it had during prior low points in the past few years. Today we are seeing a solid bounce from oversold conditions. We didn’t get a 10:1 ratio of declining stocks to advancers, but we did see that ratio of down volume to up volume. Those too are necessary but not sufficient conditions for a lasting bottom, though they can definitely signal the type of oversold conditions that can bring about a solid bounce. We can certainly trade a rally of the type we see today, but keep in mind that bear market rallies are short, sharp and ferocious, which also means that we need to consider when to sell the rips if you bought the dips.
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市場經常迷戀流行語，目前最喜歡的是“投降”。這是財經媒體上的一個常見話題——我上週四被問到這個話題——而且是一個高度相關的話題。當投資者似乎對股票永遠不會再次上漲感到絕望時，就會出現投降。可以理解，這是一個難以衡量的概念——我們將討論一些辨別它的方法——但如果每個人都在尋求投降，那麼它就不太可能實現。 這是一個悖論——如果每個人都在尋求投降，這是另一種試圖弄清楚市場何時觸底的方法。因此，如果每個人都在積極尋找市場底部，這意味著他們還沒有對股市再次上漲認輸。因此，真正的投降只有在人們不再積極尋找它時才會出現。 回想 2020 年初，當時世界因對新冠病毒的恐懼而關閉。你還記得那年三月關於投降的許多討論嗎？我不。人們嚇壞了，流動性稀缺，即使在 3 月3日緊急降息 50 個基點之後，股票繼續暴跌。3 月 20日觸底，幾天后在 3 月 15日的例行會議上進一步削減了 1%。恐懼是發自內心的，貨幣反應是激烈的。現在問問自己，這些條件中的任何一個現在是否存在？（請記住，美聯儲甚至還沒有開始縮減其資產負債表，短期利率也只收復了 2020 年跌幅的一半左右。）
持續的底部往往伴隨著 VIX 指數的極端水平，通常高於 40，在 VIX 期貨中出現陡峭的拋物線逆價差。我們目前看到 VIX 期貨處於逆價差狀態，這反映出可用的波動性保護相對短缺，但峰值位於 30 年代的低點。2 月，我們注意到在烏克蘭入侵後我們看到的現貨溢價水平很高，但不足以證明市場持續觸底。當恐慌的交易者似乎願意為波動保護付出任何代價，而通常的供應商似乎已經不再提供它時，就會發生投降。這導致近期 VIX 出現極端峰值，拋物線曲線表明一些參與者真的很痛苦. 當前的熊市對許多人來說是相當不愉快的，但我們沒有看到伴隨投降的那種生存恐懼。
一些人指出，看跌/看漲比率的上升表明風險厭惡程度增加。這在某種程度上是正確的——最近幾週該比率大幅上升——但我認為這一上升表明通過看漲期權進行的投機活動正在消退，而不是對對沖的巨大需求。請看下面的圖表，該圖表顯示了標準普爾 500 指數 (SPX) 的五年曆史，其中包含所有期權交易所的看跌量與看漲量的每日比率以及該看跌/看漲比率的 21 天移動平均線。（我更喜歡在平滑的基礎上查看該比率，因為它的波動性很大，21 個交易日代表大約一個日曆月。） 我們看到，雖然該比率的移動平均線正在接近歷史峰值，但這些峰值並不總是對應於市場底部。更重要的是，該比率現在才開始以在 Covid 之前的環境中被認為是正常的水平進行交易。個人（和許多機構）開始迷戀看漲期權作為投機工具，很明顯他們的愛正在減弱。因此，可以合理地斷言，看跌/看漲比率的水平比幾個月前表明了更大的風險規避，但它並沒有顯示出它在過去幾年的低點期間所達到的可怕峰值。
今天，我們看到從超賣情況中強勁反彈。我們沒有得到 10:1 的下跌股與上漲股的比率，但我們確實看到了下跌股與上漲股的比率。這些也是持續底部的必要條件，但不是充分條件，儘管它們絕對可以表明可以帶來穩固反彈的超賣條件類型。我們當然可以交易我們今天看到的那種反彈，但請記住，熊市反彈是短暫的、劇烈的和兇猛的，這也意味著如果你逢低買入，我們需要考慮何時賣出裂口。
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