![Why The Market Can’t Move](https://i0.wp.com/heisenbergreport.com/wp-content/uploads/2024/06/BullHedgeMazeBW2024.png?fit=1152%2C655&ssl=1)
Why The Market Can’t Move
"Eye-wateringly dire."
That's how Nomura's Charlie McElligott described the vol environment in US equities, where the outcome distribution's compressing into the early days of what promises to be a long, hot summer.
Realized vol recently collapsed. Five-day has a five-handle, 10-day a seven-handle and 20-day an eight-handle.
As the figure shows, we're down near levels observed during the height of the November/December "everything bubble."
What's keeping spot pinned? In short: Vol-selling.
It must be profitable. And will remain so until it doesn’t.
Gesh, it took years before all of the CDS writing the guy at AIG came home to roost. But I am certain that the risk management systems at the dealers have become so much more robust now. Right?