Welcome to this week’s episode of Vol Street Journal™!
In this week’s episode I go back in time to explore what happened in the lead up to the infamous “Volmageddon” event from early 2018. If you had known what to look for, you would not have been on the wrong side of that blowup.
The reason for this walk down memory lane is to illustrate how I use VIX futures to help me measure the overall health of the equity market, and what my process told me going into this past week’s selloff. When combined with market mechanics, which I also explore in the episode, it’s possible to look past all the noise out there and truly understand how at risk the market is at any given time for a significant fracturing.
But before I get to all of that, I take a look at the VIX complex and fixed strike volatility to highlight some important clues the market gave us during and after Tuesday’s market rout. I also revisit volatility composition to see what changed since last week’s deep dive into implied correlation, index vol, and index constituent vol.
Here we go!
