Welcome to Episode 39 of Vol Street Journal™!
My first full week back from vacation did not disappoint. Rates are on the move and equity vol attempted to breakout, yet bears still have their work cut out for them.
In this week’s episode, I evaluate deteriorating signals from both market models alongside an attempt by VIX to move from a compression regime into an expansion regime. I also review over/undervixing dynamics, changes in the VIX futures curve, a divergence between single-stock volatility and implied correlation, accelerating front-end Treasury yields, and the MOVE Index breaking above its summer range.
Here we go!
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Disclamer: Not investment advice.
