Cross-Asset Liquidity Strategist, CrossBorder Capital

Michael J. Howell

Cross-Asset Liquidity Strategist

Implementing Research Using Alt Data & AI

CrossBorder Capital

CrossBorder Capital is a London-based independent investment advisory firm. Founded in 1996, it exploits a gap in the investment arena by focusing on Central bank liquidity. 

It specialises in the monitoring and analysis of global liquidity flows - an important determinant of asset prices, from currencies through to bonds, equities and real estate.

CrossBorder Capital implements its investment strategy and currently manages over US$ 350m.


Cross Asset Strategy

<ul>
<li>Three events have changed investors' mood: US Quarterly Refunding (QRA), Fed FOMC Statement and H4.1 Release, and a downbeat October ISM Print</li>
<li>Most important by far is the QFA. This effectively 'added' a net US$80 billion of liquidity to US markets. It confirm 'fact' that QT effectively dead
</li>
<li>Risk still remain in our view. These events underscore a flat market in risk assets. Equity bull market still requires positive Central Bank liquidity injections and a stable bond market</li>
</ul>


Three events have changed investors' mood: US Quarterly Refunding (QRA), Fed FOMC Statement and H4.1 Release, and a downbeat October ISM Print
Most important by far is the QFA. This effectively 'added' a net US$80 billion of liquidity to US markets. It confirm 'fact' that QT effectively dead

Risk still remain in our view. These events underscore a flat market in risk assets. Equity bull market still requires positive Central Bank liquidity injections and a stable bond market


<ul>
<li>The steepening US Treasury yield curve is consistent with a rising Global Liquidity cycle</li>
<li>Independent evidence shows that the Global Liquidity cycle bottomed in October 2022 at an index of 11.8 (range 0-100)</li>
<li>The next Global Liquidity cycle peak is unlikely before September 2025. The investment cycle is in a Rebound investment phase</li>
</ul>


The steepening US Treasury yield curve is consistent with a rising Global Liquidity cycle
Independent evidence shows that the Global Liquidity cycle bottomed in October 2022 at an index of 11.8 (range 0-100)
The next Global Liquidity cycle peak is unlikely before September 2025. The investment cycle is in a Rebound investment phase


Senior Equity Derivatives Trader

Simon Harris

Event-Driven

<ul>
<li>Weekly summary of vol changes and moves across Global Markets</li>
<li>Analysing ATM volatility and skew changes over the last 5 days</li>
<li>We suggest a few trades to take advantage of the implied vol surfaces</li>
</ul>


Weekly summary of vol changes and moves across Global Markets
Analysing ATM volatility and skew changes over the last 5 days
We suggest a few trades to take advantage of the implied vol surfaces


EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Connecting the Dots

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Chicago Board Options Exchange Volatility Index / Event-Driven

Chicago Board Options Exchange Volatility Index

<ul>
<li>The <a href="https://www.smartkarma.com/entities/chicago-board-options-exchange-volatility-index" target="_blank" data-smartkarma-citation="entities:31501:1" rel="noopener">VIX INDEX</a> is currently OVERSOLD from a time perspective, but not yet from a price perspective: if it falls &lt;13, there is a high probability it will reverse up.</li>
<li>A spike in the VIX will correspond to a drawdown in equities, globally. The MRM model indicates a 1-2 weeks duration for the event, price targets between 16 and 18.</li>
<li>After the spike, the VIX could start to fall again, so this upcoming volatility spike should be a brief, short-lived event.</li>
</ul>


The VIX INDEX is currently OVERSOLD from a time perspective, but not yet from a price perspective: if it falls &lt;13, there is a high probability it will reverse up.
A spike in the VIX will correspond to a drawdown in equities, globally. The MRM model indicates a 1-2 weeks duration for the event, price targets between 16 and 18.
After the spike, the VIX could start to fall again, so this upcoming volatility spike should be a brief, short-lived event.


EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Slowing Growth

United States

The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.

S&P 500 INDEX (SPX INDEX)

QT Dead...Risk On Again?

Risk asset markets are racing ahead. Is the bull back? We argue that not much has changed, except that QT (quantitative tightening) is effectively...

Michael J. Howell

The Global Liquidity Cycle

This report looks at the origins, definitions and outlook for Global Liquidity. It is part primer and part prediction. The next peak in Global...

Michael J. Howell

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Connecting the Dots

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

Sunday Reading: the VIX Index WEEKLY is becoming OVERSOLD, if it goes near 10 there is a high chance it will spike up, and equity volatility could...

Nico Rosti

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Slowing Growth

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris