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
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.
