Ok, well U.S. stocks are under all kinds of pressure right out of the fucking gate on Tuesday, taking their cues from Europe, which took its cues from Asia, which took its cues from the U.S. on Monday, which took its cues from the bond selloff which… hell, you get the idea.
So far (and yes, it’s early), we are on track for the worst day since the Gary Cohn resignation rumor rattled markets on August 17:
Meanwhile, the VIX is closing in on a 15 handle and the ‘Nasdaq VIX’ is at 20:
And speaking of VXN, it closed on Monday at its highest since the election:
As Bloomberg’s Cameron Crise notes, that is remarkable considering it happened against just a 0.5% drawdown from record highs. “How anomalous is that spike in NDX vol?”, Crise asks, before answering his own question as follows:
Quite, given the standards of the past three years. Unsurprisingly, the level of vol is highly correlated with the index drawdown from all time highs, with an r-squared of 0.63. As you can see from the red star on the scatter below, since the start of 2015 the VXN has never been this high with such a small drawdown from the highs.
Dip buyers assemble… you are needed.