1. SPX funding spreads continue declining ( less demand for long exposure ); SPX 5% higher vs when funding spreads at this level ( room to go lower )
2. Earnings day moves the highest vs non-earnings day moves in 14 years; buy options for stock earnings days
3. SPX breakeven vol priced at 1.2% for Inauguration Day and 1% for CPI and FOMC ( this one right when CNY starts ); these are too low 
4. Both 5% upside and downside priced too ‘low’ vs GSMOVE
( all courtesy GS John Marshall )
- Josh adds ‘ term premia cheapening can advance ‘, ie curves can continue stepeening, front end cheap. I disagree long end closer to cheap than expensive especially low cash price bonds
- ‘ Bitcoin has held too well ‘; very mid view, there is so much more to the rally in crypto than Fed pivot