This week’s episode analyzes the significant shifts in the volatility market following Friday’s widespread equity sell-off, tracking how a multi-week compression regime ended in a rapid volatility expansion. I break down what I saw early in Thursday and Friday’s sessions that spoke to two very different situations and what this may mean heading into Monday.
Topics discussed this week:
- Substantial shifts in the HRV and EWS models as they move into cautionary and dangerous territory.
- A massive surge in COR1M as implied correlation morphs from a volatility dampener to an accelerator.
- A structural change in the VIX futures curve as it shifts higher and flattens.
- The tightening gap between index volatility and individual stock volatility.
- A comparative study of market mechanics between Thursday and Friday.
The data points to a meaningful change in the risk environment going into next week where the market’s ability to absorb future selling has been compromised but not yet fully depleted.
Here we go!
