It was a wild week in markets. We had expirations, NVDA earnings, jobs data, Fed speakers, rallies turn into selloffs, selloffs turn into rallies, volatility spikes and crushes, and so much more!
In this week’s Vol Street Journal, I cover:
- VIX futures: Why I track them so closely, the impact of their cycles, and how changes to the term structure can be powerful signals.
- VIX and VVIX “sticky” levels (no, this is not technical analysis).
- How my cumulative measure of “over-vixing” and “under-vixing”hinted that volatility markets were primed to relax on Friday.
- Volatility Composition and Decomposition
- What my fixed strike volatility matrix told me on Wednesday after the close and how I think it may have contributed to the Thursday selloff.
- This Week’s Tweets: A theme this week was relative moves of VIX, VVIX, VX futures, and the SPX.
- Tales from the Tape: Thursday and Friday’s tape action was less than inspiring despite the rally on Friday.
- Liquidity Look: Book depth thinned out and spreads widened.
- Treasury volatility remains subdued.
- Another look at the relationship between high yield credit spreads and the S&P, and how changes in this relationship provided a good signal weeks ago that something was amiss.
