You need a PLUS account to view this content. Try one month of PLUS for FREE.
Already have an account? log in
The Regime Is Dead, Long Live The Regime
I've written voluminously on the growing impact of ballooning AUM for derivative income products.
The vol supply overhang from the explosive growth in buy-write ETFs and other yield enhancement vehicles is meaningful and when considered with flows from more traditional sources, goes a long way towards explaining why vol expansions, which would anyway mean revert, tend to prove hopelessly fleeting.
On Thursday, I highlighted the latest from Nomura's Charlie McElligott, who documented a nascent
Update May 31:
The vol came down and the market went up.
Mr. Lucky, what was the definition of capital markets you taught your students?
Super squeezy into the finish…Vix pushing 15 at lunch and 12 handle into weekend…interesting mix of cos. running late week (telcos not tech…)
The supply of vol just keeps on coming.
https://on.ft.com/3KtW6fr
What could possibly go wrong?