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Vol Street Journal™ :: Episode 18

I’m on the road and short on time so no big preamble this week. But, once again, markets threw a lot at us last week so there was plenty to cover:

  • Convergence in the VIX Curve: Why the narrowing spread between VIX futures and spot indicates the vol market’s sensitivity to underlying moves is heightened.
  • Skew Flattening: Analyzing the noteworthy Thursday and Friday move where put IV actually dropped during a 120-point flush.
  • Implied Correlation Highs: How the reversal of January’s extreme lows is now driving index-level stress.
  • The MOVE Index Recorrelation: Treasury volatility is no longer decoupled from rates, signaling a broader contagion into fixed income.
  • Liquidity and Credit: Tracking the “Orange” regime shift in credit spreads and the thinning book depth in S&P futures.

Watch the full breakdown below where I assess the levels that warrant watching as the new week opens.


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Disclamer: Not investment advice.

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Evencio Alvarez

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