Markets have come a long way in the past two weeks. From a period of rapid volatility expansion to a period of rapid volatility contraction, the volatility market is now in a much better place to withstand some turbulence should it come. At the end of the video I discuss why I give the overall health of the market a B+, but I also explain earlier why shorting volatility right now is not an attractive prospect in my opinion.
Here’s an outline of everything I discuss in this week’s video:
- All things VIX, VVIX, and VX futures
- The 16 level on VIX is back in play
- VVIX is in the low 90s and starting to “outperform” – so what?
- The VX term structure has come a long way since November 20th
- A look at a shrinking VRP, vol-of-vol easing, and chronic “undervixing”
- Volatility composition through the lens of implied correlations, VIX, and VIXEQ
- Fixed strike vol skew has flattened
- Treasury market volatility popped another Ambien
- Signs of expanding liquidity
- Improvements in credit markets
- This Week’s Tweets and Tales From The Tape were all about mechanics and rotation
