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Rates Shorts Suffer ‘Stop-Out Of Their Lives’ Amid 8-Sigma Trend Shock
Whatever happens from here -- where in this case that means even if bank contagion fears abate and the Fed is able to persist in the inflation fight -- it's too late for myriad unfortunate souls wrong-footed by one of the most dramatic US rates reversals in history.
Recall that the sudden blast of dovish repricing that accompanied the collapse of SVB was at the heart of the largest two-session drawdown+ for the CTA benchmark in the index's history.
To call the reversal "stunning" would be to d
Back in 2017-18 I heeded your warnings re: short vol trading in XIV and ilk, and managed to get out before the volpocalypse, and have been a loyal follower since. You’ve helped many times along the way with your oft-prescient warnings and explainers (I’m looking at you, crypto). Once again, for this simple explainer, my thanks.