"Unlike earnings, the macro calendar presents a much more two-sided catalyst set"

1. Equity futures positioning. Non-dealer positioning has risen sharply in recent weeks and is now approaching record territory.

2. Short interest. "Short interest on the median S&P 500 stock jumped to decade-highs"

3. SPX implied moves. "Unlike earnings, the macro calendar presents a much more two-sided catalyst set. After an earnings season dominated by positive surprises, the right tail around the next set of events is less obvious."

4. Implied correlations. "S&P 500 implied 1-month correlations remain in the single-digits. Correlations have never been this low exiting a Q2 reporting season. Of note, correlations keep moving lower in the AI age."

5. SPX valuation bands. "If forward earnings estimates continue rising at their current pace, the S&P 500 may only need a 19x forward P/E multiple to reach 8000 by year-end."

ICYMI