Nomura’s McElligott Returns, Talks ‘The Halcyon Cross-Asset Short Vol Trading Environment’

Nomura’s McElligott Returns, Talks ‘The Halcyon Cross-Asset Short Vol Trading Environment’

Rejoice, sports fans, Nomura's Charlie McElligott is back. Fresh off what he describes as "the annual holiday brain 'de-frag'", Charlie gets right down to business. "So what screws up the trend/momentum backdrop?", McElligott asks, before reminding everyone that the short vol/easy carry environment is "almost entirely based upon the expectation of global central banks shifting back towards easing". The most obvious answer is a hawkish surprise from either the ECB (this week) or the Fed (at th
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2 thoughts on “Nomura’s McElligott Returns, Talks ‘The Halcyon Cross-Asset Short Vol Trading Environment’

  1. if anyone is willing to sell their shares on “good news is bad news”, i am willing to take them off your hands for a 10% discount. unfortunately for me, others will buy them for 5% or even a 2% discount.

  2. Bifurcation seems a bit suspicious. I would question the model first.

    Anyway, I’ve been thinking about tactically increasing equity exposure because the risks seem to be falling off. Can’t say that this post gives me a lot of ammo but I’m impressed that people are loading on 3100 strike.

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