Join institutional investors, analysts and strategists from the world's largest banks: Subscribe today
Already have an account? log in
Goldman: Here’s How Falling Liquidity Drives Up Volatility, By The Numbers
On Friday, we drew your attention to a CNBC interview with Jim Chanos that found Jim fretting over market "fragility".
Specifically, Chanos expressed concern over how susceptible equities appear to be to sharp drawdowns when yields rise.
In their recap of the interview, CNBC attempted to navigate the choppy waters around explaining the February and October equity routs and considering the source, they did a decent job. Essentially, they put the blame on rapidly rising 10-year yields prior to b
This is common also with Dax. Implied daily range from option prices is almost always underestimating realized range. I model by my own such a range, and saw that realized volatility is a better estimator.