Below is a chart and brief excerpt from today's Early Look written by Hedgeye CEO Keith McCullough.

The other major market factor to consider is one that very few people either understand or have written about this year… and that’s the market structure changes being perpetuated by hedge funds:

A) Too much leverage…
B) Not enough liquidity (especially in single stocks)

When a growing supply of hedge funds are trying to run “neutral” to Factor Exposures (with leverage)… and specific Factor Exposures blow out in 1-3 day windows of Clock Time, monthly – they can’t get out.

Show me how 10-20 hedge funds get out of 10-20 Small to Mid Cap Energy Stocks in 1-3 days of Game (or Clock) Time, and you’ll see my point very clearly. If you missed yesterday’s “lunch-time lull”, as I call it, you missed a heck of a move!

Between the hours of 11AM-1PM ET, humans at hedge funds go get and eat their lunch. Those are the least liquid trading hours of the day. Even SPY tagged the low-end of my @Hedgeye Risk Range™ Signal at 12:30PM yesterday at 4199.

While the low-end of my Risk Range math yesterday was 4200, this morning’s math spits out 4206. That’s a higher-low. Why? My Vol of Vol Signal didn’t change for the worse yesterday. It got more bullish for US Equities!

Again, that’s no #Quad4 Signal, in as much as the stock markets in Australia and France opening higher weren’t.

But why? I already told you why. US Long/Short Hedge Funds aren’t levered long those Equity markets! Another observation point that is plain to see to anyone's eyes who aren’t swollen shut this morning is that… wait on it…

These monthly draw-down or episodic-and-non-TRENDING US Equity Factor Exposure events have happened EVERY month in 2021 since the hedge fund HIGH SHORT INTEREST drawdown in January… right into options expiration.

Today is Quadruple Witching day for futures and options.

CHART OF THE DAY: Style Factor Performance Round-up - EL618