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

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One thought on “Goldman: Here’s How Falling Liquidity Drives Up Volatility, By The Numbers

  1. 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.

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