Charlie McElligott’s ‘Toggle’ Motto: Why A Broken Vol Market Matters

Over the past week (maybe two), Nomura's Charlie McElligott has been keen to emphasize that the vol market is "broken." There are a number of factors which, when taken together, underpin his contention that an "accident" could be in the offing. One way or another, most of those factors come back to a supply/demand imbalance. Read more: The VIX Is Still Screaming ‘Accident,’ Nomura’s McElligott Cautions In a Thursday note, McElligott reiterated the "broken" characterization, on the way

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2 thoughts on “Charlie McElligott’s ‘Toggle’ Motto: Why A Broken Vol Market Matters

  1. VaR is so silly in my world. Lower vol but a more expensive asset is less risky than a more volatile but cheaper (to intrinsic value – discounter future cash flows)?

    Vol = opportunity to guys like me (though there are fewer of us nowadays).

    Of course, reflexivity needs to be remembered and thought of. If vol drives the cost of capital to unsustainable levels intrinsic values can change.

    Still believe modern markets and modern players (algos, etc) offer more opportunities to those looking for them.

    Be smart and be rational. There will always be fat pitches in the future but you have ot be able to get to bat to hit them.

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