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SprottDeep research4 Nov 2022Source: sprott.com

Fed Pivot FOMO and Financial Instability

Sprott is a Toronto-headquartered asset manager specializing in precious metals and critical materials (NYSE/TSX: SII), tracing its roots to Sprott Securities founded by Eric Sprott in 1981 and now led by CEO Whitney George. It runs physical gold, silver and uranium trusts, ETFs, active strategies and resource lending, with about $65bn in AUM. The Insights column carries monthly commentaries and white papers on uranium, gold, silver, copper and critical materials by Paul Wong, Jacob White and John Hathaway (ex-Tocqueville gold manager) — note the house's structurally bullish commodity stance, as it sells the corresponding trusts and ETFs.

Eric Sprott、Whitney George · 1981 · 加拿大多伦多Precious metals & critical materials

In plain words

This report looks at gold and mining stocks in October 2022. Gold prices fell for seven straight months, but the report says gold mining stocks are now a good deal. Mining companies have lower costs and better production outlooks. Also, many traders are betting against gold (short selling), so if the Fed slows down rate hikes, gold prices could jump quickly. The report also warns that U.S. Treasury market liquidity (how easily you can buy or sell) is as bad as during the 2020 crisis, which could cause bigger problems. For regular investors, this means gold-related assets might be worth watching, but be ready for market ups and downs.

AI SummaryAI-generated · may contain errors · verify against the original

Sprott's October 2022 report indicates that most precious metals faced pressure, but uranium and energy transition metals performed strongly, with its uranium oxide spot portfolio rising 24.12% year-to-date. In comparison, gold fell 10.70%, silver dropped 17.78%, gold mining stocks declined 21.54%,

~8 min full read · 10 sections
Deep Analysis

Theme and Background

This chapter focuses on the precious metals market performance in October 2022, noting that most asset classes continued to face pressure, with uranium and energy transition metals being exceptions. The report highlights that gold fell for the seventh consecutive month, suppressed by a strong US dollar and interest rate hikes, but long-term investors took advantage of low prices to build positions, and gold demand has recovered to pre-pandemic levels.

Core Views

The author's core investment thesis is: Gold mining stocks have entered an attractive valuation range, with a significantly improved risk-reward ratio. Despite the decline in gold prices, mining companies are experiencing easing cost pressures, stronger production expectations, and healthy balance sheets. Contrarian judgments include: Short positions in gold are excessively crowded, and any signal of slowing rate hikes could trigger a short squeeze rebound; The UK pension crisis is a warning of systemic risk, not an isolated event, and may foreshadow more financial landmines about to detonate.

Key Arguments and Data

  • Gold Performance: Spot gold fell 1.63% to $1,633.56 in October, declining for the seventh consecutive month, but Q3 2022 demand rose 28% year-over-year, with year-to-date growth of 18% (World Gold Council data).
  • Relative Strength of Mining Stocks: Gold mining stocks (SOLGMCFT Index) fell only 0.39% in October, outperforming spot gold (-1.63%), and their year-to-date decline (-21.54%) was smaller than the S&P 500 (-18.76%) but larger than gold (-10.70%).
  • Short Crowding: Gold futures positions are at a 10-year low, with shorts dominating price movements, and the 200-day Z-score indicates decelerating downside momentum.
  • Macro Signals: The US Dollar Index (DXY) edged down 0.53% to 111.53 in October, while the 10-year US Treasury real yield fell 14 basis points to 1.53%, suggesting rising expectations of a slowdown in rate hikes.
  • Easing Cost Pressures: Q3 earnings reports show that many miners have experienced reduced cost pressures, with stronger production expectations for the second half of 2022.

Comparison Data Table (Key Asset Performance in October 2022):

Indicator 10/31/2022 Close 9/30/2022 Close Monthly Change Monthly % Change YTD % Change
Spot Gold $1,633.56 $1,660.61 -$27.05 -1.63% -10.70%
Spot Silver $19.16 $19.03 +$0.14 +0.72% -17.78%
Gold Mining Stocks (SOLGMCFT) 96.79 97.17 -0.38 -0.39% -21.54%
S&P 500 Index 3,871.98 3,585.62 +286.36 +7.99% -18.76%
US Dollar Index (DXY) 111.53 112.12 -0.59 -0.53% +16.57%
10-Year US Treasury Yield 4.05% 3.83% +0.22% +22 BPS +254 BPS

Companies/Assets Involved

  • Gold Mining Stocks (GDX): Rose 0.17% to $24.16 in October, down 24.57% year-to-date. The author is bullish, citing attractive valuations, easing cost pressures, and stronger production expectations.
  • Gold ETF (ETFGTOTL): Total holdings declined for six consecutive months, falling 1.99% in October to 95.10 million ounces, reflecting short-term selling but long-term investors buying on dips.
  • Silver ETF (ETSITOTL): Total holdings edged up 0.10% in October to 764.76 million ounces, with selling weakening, which the author views as a positive signal.
  • UK Pensions (LDI Strategy): Used as a cautionary example, highlighting the vulnerability of leveraged markets when liquidity rapidly withdraws.

Investment Implications

  • Go Long on Gold Mining Stocks: Current valuations are at historical lows, with easing cost pressures and production growth, offering a better risk-reward ratio than physical gold. If the Fed slows rate hikes, mining stocks have greater upside elasticity.
  • Beware of Short Squeeze: Short positions in gold futures are extremely crowded, and any signal of slowing rate hikes (e.g., unexpected rate cuts by the RBA or BoC) could trigger a sharp short-term rebound.
  • Monitor Financial Stability Risks: The UK pension crisis is a precursor to systemic risk; if more similar events erupt, gold will benefit as a safe-haven asset. Investors should reduce exposure to highly leveraged assets and increase gold allocations.

Theme and Background

This chapter discusses the deterioration of U.S. Treasury market liquidity to levels seen during the March 2020 crisis and the systemic risks arising from it. The report notes that despite the recent rebound in risk assets, market fragility has increased significantly, leaving the Federal Reserve in a dilemma between fighting inflation and maintaining financial stability.

Core Views

The author’s core judgment is that U.S. Treasury market liquidity has approached March 2020 crisis levels, and a shock event could trigger a global credit crisis. Counterintuitive views include: 1) Current market depth is worse than in March 2020, yet risk assets are rebounding; 2) Institutional investors have devolved into "day traders," with approximately 50% of options trades having maturities of 24 hours or less; 3) The Federal Reserve may be forced to restart "temporary QE" to sustain market functioning, even if inflation remains uncontrolled.

Key Arguments and Data

  • Treasury Liquidity Index: Current levels match or exceed those of March 2020 (Figure 2).
  • MOVE Index (Bond Volatility): Also exceeds March 2020 levels. The index’s founder notes that when the reading reaches 150, the Fed has lost control over bond volatility—daily implied price swings amount to 9.5 basis points, which is unsustainable for a risk-free asset serving as the pricing benchmark for all financial assets. A reading of 50, by contrast, indicates the Fed has risk under control and can be seen as a risk-on signal.
  • Options Activity: Approximately 50% of options trades have maturities ≤ 24 hours, and this is institutional behavior. Options trading volume has more than doubled since 2019 (Figure 3).
  • Market Depth: Current levels are worse than in March 2020, and market makers are in a "short gamma" state, forced to buy high and sell low, amplifying extreme price swings.
  • SKEW Index (Tail Risk Indicator): The 10-year percentile reading has fallen to the 0.2% percentile (Figure 5), an historically extreme low, indicating the market has barely hedged against tail risks. The report argues that when financial instability intensifies, demand for protection will surge.

Comparative Data Table:

Indicator Current Level March 2020 Level Normal Level
Treasury Liquidity Index Matches/exceeds Crisis peak Significantly lower
MOVE Index Exceeds Crisis peak 50 (Controllable)
Options Volume (vs 2019) More than doubled
SKEW Index 10-Year Percentile 0.2% 50%

Companies/Assets Involved

  • U.S. Treasuries: The world’s deepest liquidity market; a malfunction would have severe spillover effects. The report implies a bearish view on Treasury liquidity but believes the Fed may intervene.
  • Gold: The report argues that gold will benefit when the market’s focus shifts from interest rate/inflation shocks to recession/financial stability concerns. Currently, gold lacks safe-haven buying (as indicated by the extremely low SKEW index), but if "yield peak" and "dollar peak" materialize in the short term, gold short positions may also peak.
  • Systematic Funds: Influenced by options and derivatives flows, these funds could amplify market volatility.

Investment Implications

1. Beware of Liquidity Shocks: The U.S. Treasury market is the cornerstone of the financial system; its failure could trigger a global credit crisis. Investors should reduce exposure to highly leveraged, low-liquidity assets.

2. Monitor Fed Policy Shifts: If market functioning deteriorates, the Fed may be forced to pause QT or even restart QE, which would benefit gold and safe-haven assets.

3. Leverage Options Market Signals: The SKEW index is at historically extreme lows, indicating the market is underpricing tail risks. Once financial instability intensifies, demand for protection will surge, and gold may regain safe-haven buying.

4. Short-Term Risk Asset Rebound Unsustainable: The current rebound is driven by low net exposure and "Fed pivot FOMO," but the market’s micro-structure is fragile, and the rebound may be followed by a sharper decline.