Initial jobless claims were 339K versus the consensus estimate of 370K. This is the lowest level of claims since January 2008. Continuing claims decreased 15,000 to 3.273 million, which was in-line with expectations.
Brazil and South Korea cut their key lending rates by 25 bps to 7.25% and 2.75%, respectively. The move by Brazil was a surprise.
With the market weak over the past three days, it is no surprise that the net deltas on SPX have fallen. Though still positive at $75B, the deltas are down from $190B on Friday and $364B on September 21. The positive net delta position on the SPX goes back to June 18.
The VIX has had a decent move off last Friday’s 13.67 low climbing to 16.79 yesterday. The VIX is now at the upper end of the downward channel.
The two big earnings reports that will be released before tomorrow’s trading session are Wells Fargo (WFC) and JPMorgan Chase (JPM). The options market makers have increased their net deltas over the past three weeks on JPM and WFC while the overall stock market has struggled. The implication is WFC and JPM should show relative outperformance. On the other hand, Charles Schwab (SCHW) shows bearish flow. SCHW reports on Monday before the market open.