PROGRAMMING NOTE: There will be no Vol Street Journal episode for the next two weeks. I’ll be back in early September after my summer break.
This week I evaluate whether the volatility crush has become over-extended. I also review improving market models, a noteworthy divergence in volatility composition, the Treasury market’s response to the latest inflation data, and follow-up on positioning in equity futures.
Topics covered this week:
-HRV and Early Warning System model updates
-Historic contango and spread expansion across VIX timeframes and futures
-Divergences between VIX and 1-month implied correlations
-Treasury curve steepening and credit market volatility compression
-COT positioning dynamics and relative value index pair trades
Here we go!
Unlock the full analysis
Sign up to access it and receive actionable macro research.
No spam. Just macro research and risk management.
Disclamer: Not investment advice.
