Are Stocks Too Calm For Comfort?
"It's quiet. Too quiet," as the old cliché goes.
As the new week dawned, some market observers were keen to note that the outcome distribution for US equities recently compressed.
Specifically, it's been a dozen sessions since the benchmark moved up or down by more than 1%.
On one simple calculation (illustrated above) the index is at least as calm as it's been at any other point this year.
Needless to say, that's mirrored in both realized and implied vol. 10-day rVol, regular readers wil
How do you predict a year like 2017?
I can’t remember who it was (Marko?) who referred to the Yellen Fed as a “supplier of convexity,” but it really feels like the Federal Reserve is well positioned to reprise that role this year.
First, they have the option to end QT, second, they have the option for “insurance cuts” where they yell, “It’s not a cut! We just want to avoid mechanical tightening from rising reals!”
A steady supply of convexity makes for smooth sailing. (Assuming, of course, we don’t go to war with China.)
That was Aleks Kocic at DB. He’s retired now.