Hello, and welcome to Episode 20 of Vol Street Journal™!
This week, I look at what might be the first real cracks in the “war trade” regime. Despite the ongoing tension in Iran and a big jump in oil late in the week, the data suggests the market’s structural plumbing is actually beginning to stabilize.
In this episode, I cover:
- The decoupling of the S&P 500 and Treasuries from the price of oil
- VIX and VVIX failing to confirm new S&P lows while the VIX futures curve settles
- The impact of a 10-point collapse in implied correlations (COR1M) in just two sessions
- Fixed strike skew retreating from extreme 100th percentile levels
- The MOVE index returning to its primary 80–120 range
The signals are starting to stack up in a way that warrants a closer look at the risk environment.
Here we go!
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Disclamer: Not investment advice.
