Nomura’s McElligott: ‘The VIX Is Broken — Again’

"From a Vol market perspective, the issue is that the VIX is broken -- again," Nomura's Charlie McElligott said Monday, in one section of a sweeping note documenting recent dynamics and detailing what a trio of backtests might foretell for markets on the heels of last week's somewhat deranged developments. It's "all demand" for implied, but no supply, Charlie wrote. He described a "near-endless need for skew/ forward vol/ convexity from hedgers," in an environment where dealers are unable to su
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3 thoughts on “Nomura’s McElligott: ‘The VIX Is Broken — Again’

  1. Kocic’s analysis from 2017 seems to be deeply informed by Minsky’s work in the ’60s, ’70s. The logical extension — that there’s a “moment” lurking out there — is not reassuring.

  2. When we say attractive we mean at a certain price. When I traded, I paid too much for things a lot of the time. People with much broader and deeper knowledge than me shorted me stuff, and then realized they could not buy it back. This would be stuff that was volatility based, or convertible bonds. Out of the money long dated puts get no respect because they are insanely expensive.

  3. Good post explaining the nuances with which the industry deals.. Call me one track minded but somewhere the concept of MMT/R is one that fits a certain pattern which has a place in that logical sequence.. Being facetious I see a system’s (FED) attempt here that reminds me of the Flintstones trying to reinvent the Wheel . Thanks Charlie and Alexander for organizing what seems to be random activity..

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