April 28, 2023 | Monday Morning Minutes

MMM Episode 113: 0DTE Stock Options, a Daily VIX and a Mostly Green Month

After reviewing a mostly green market week (and month and year-to-date) of April 24-28, DoubleLine’s Jeffrey Mayberry and Samuel Lau take a look at what a difference a day makes with their Topics of the Week. Jeff and Sam begin the segment by looking at zero-days to expiry (0DTE) stock options (21:19), with investors’ growing interest having already produced mixed opinions from “nothing to see here” to the “next Armageddon.” The two cover the history leading up to 0DTE, retail investors’ exposure (30:37) and generally see a pretty balanced market with not much reason for concern (27:35).* Next up (28:29) is the CBOE’s new 1-Day Volatility Index (VIX1D), unveiled by CBOE as a companion to its VIX, which measures stock market expectations of volatility based on S&P 500 index options on a 30-day basis and is referred to as the fear gauge.** Jeff and Sam discuss the new index’s operation and the short and simple breakdown provided by the CBOE on the VIX1D, wonder if the VIX1D’s popularization of “business minutes” will lead to talk of “business seconds,” and they look forward to tracking the new index’s reactivity to next week’s speech by Fed Chair Jerome H. Powell at the FOMC meeting. The Topic of Week segment concludes with a quick check-in on the status of the 2s10s spread (37:20).

Stocks (1:52) and the Agg (4:55) posted strong performances in April while commodities (6:25) struggled and Bitcoin (9:00) maintained its strong year-to-date return. Over in Macro Land, Jeff and Sam look at data prints including home prices (9:43); preliminary GDP (12:05); and the Fed’s report on the collapse of Silicon Valley Bank (15:37 ), in which, Sam notes, the Fed does not fully acknowledge the extent of its failure. Looking to next week (40:16), the big event is the FOMC meeting, which is expected to bring another quarter-point rate hike.

*For more on options and Witching Hour(s), check out MMM Episode 36

**For more on the Volatility Index, check out MMM Episode 49

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  • Jeffrey Mayberry

    Macro-Asset Allocation

    Jeffrey Mayberry

    Macro-Asset Allocation

    Mr. Mayberry joined DoubleLine in 2009. He is a Portfolio Manager on DoubleLine’s strategic commodity strategy while working in portfolio management and trading for derivatives‐based and multi‐asset strategies. Mr. Mayberry is a Strategist on the Fixed Income Asset Allocation (FIAA) committee and a contributing member on our Global Asset Allocation and Macro committees. He also co-hosts DoubleLine’s weekly Monday Morning Minutes (Twitter @DLineMinutes, podcast. Prior to DoubleLine, Mr. Mayberry was a Senior Vice President at TCW for nine years within the Mortgage Group, where he specialized in portfolio and fund monitoring and analytics. He holds a B.S. in Engineering from Harvey Mudd College and an M.S. in Financial Engineering from the Peter F. Drucker Graduate School of Management at Claremont Graduate University.

  • Samuel Lau

    Macro-Asset Allocation

    Samuel Lau

    Macro-Asset Allocation

    Mr. Lau joined DoubleLine in 2009. He is a Strategist on the Fixed Income Asset Allocation (FIAA) Committee and a contributing member on the Global Asset Allocation and Macro committees. Mr. Lau is a Portfolio Manager on DoubleLine’s strategic commodity strategy while working in portfolio management and trading for derivatives-based and multi-asset strategies, including DoubleLine's Shiller Enhanced CAPE®, Shiller Enhanced International CAPE®, Real Estate and Income, and Multi-Asset Trend strategies. He also co-hosts the Sherman Show (Twitter @ShermanShowPod, and Monday Morning Minutes (Twitter @DLineMinutes, podcasts. Prior to DoubleLine, Mr. Lau was a Vice President at TCW where he worked under Jeffrey Gundlach as a Research Analyst in the Mortgage Group. He holds a B.S. from the University of Wisconsin, Madison and an MBA from the Marshall School of Business at the University of Southern California.