from Zero Hedge
By Morgan Stanley’s Rob Cronin, Ross Montgomery, Mathieu Renault
Post September expiry, clients appear well hedged into year-end and bar US election/covid headline agitation there is no clear SX5E technical that can drive spot in either direction near-term. The net futures short has rebuilt to levels last seen in June, ownership of downside is higher than normal and HF gross/net exposure is concentrated in market segments where drawdowns are low. HF P&L volatility is extremely low and returns are, in aggregate, mid-single digits now (vs. -8% at its worst). Breakouts on the upside, flow wise, have so far been met with stern resistance and the new SX5E composition makes sharp breakouts more difficult. There is some evidence (in cash & options) that the focus is shifting to single names.