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Why Vol Didn’t Show Up For The ‘Trump Correction’
A few readers have asked, both in comments posted publicly and in emails, about the conspicuous abse
While I hadn’t asked I did have a large VIX spread on that didn’t perform as expected (not hoped). Happily, put spreads made up for it. Thanks for explaining that underperformance. COR1 was muted throughout and the dispersion ‘fad’ explains that. IIRC we only had one 90% correlated day.
“exhaustion of systematic de-leveraging and the petering out of unwinds in crowded trades” and soon a large quarter-end rebalance trade?
Perfect timing for a rally into DJT’s April 2nd announcements!
Exactly. Another chance to derisk, if needed.