This week I evaluate whether the broad-based compression across equity and volatility markets has pushed realized and implied volatility to unsustainable levels. I also review recovering market health models, a noteworthy shift in the dynamic between single-stock volatility and implied correlation, the Treasury market’s response following Jackson Hole, and a divergence in corporate credit spreads.
Topics covered this week:
-HRV and Early Warning System model updates
-Realized volatility compression, comatose VIX and VVIX, and VIX futures contango
-Evolving dynamics between individual stock volatility and implied correlations
-Subdued Treasury volatility despite rising rates and inflation break-evens
-Credit market spread dynamics and a sign of “risk-on” activity in corporate debt
Here we go!
