Market Doom Loop Update: Risk From VIX ETPs, CTAs Flashes Red

It’s all about “loops” and “spirals” these days.

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‘The Automatic Flow That Poses The Most Immediate Risk Is VIX ETPs’: Goldman Takes On The ‘Doom Loop’

When the proverbial shit hits the fan, don’t blame risk parity and the trend followers. Rather, point the finger at the Target manager next door.

Doom Loop Update: VIX ETP ‘Risk’ Remains High

According to the latest read on this, the potential for an ETP rebalance to cause problems is still near record highs.

‘The Risk Remains Large’: Updating The VIX ETP ‘Doom Loop’

“With VIX futures several points below their historical average, a several point move would not be a tail scenario.”

The Doom Loop Is Back: ‘VIX ETP Risk’ Hits All-Time High

“This vega-to-buy is at a record highs, almost doubling since mid-July on inflows to short VIX ETPs.”

The ‘Doom Loop’: How VIX ETPs Exacerbated Last Week’s Vol. Spike

That is all kinds of precarious for all kinds of reasons that should be obvious to anyone with any sense.

A Nightmare On Wall Street – Updating The Feedback Doom Loop (Again)

Listen, there is a non-negligible chance that you have unwittingly sowed the seeds of this market’s demise in your ill-advised attempt to make a side career out of being a vol. seller. And relatedly, if you’re someone who is long levered long VIX products, you too are in on this accidental plot to destroy the…

A Nightmare On Wall Street – Updating The Feedback Doom Loop

Remember “Investigating The Market’s ‘Nightmare Scenario’”? Of course you don’t. That post is from May and you’ve been drunk slept since then. But it was an important piece. Essentially, it outlined the potential consequences of the feedback loop that’s embedded in markets thanks to the proliferation of VIX ETPs and systematic strats that lever up…

The Chinese Capital Flight Doom Loop & Why A One-Off Depreciation Could Cause A Crisis

” We take the contrary position and believe that a big devaluation might turn out instead be the final straw on the camel’s back of China’s credit bubble, leading to an even greater crisis.”

What Caused Japan’s Mini-Volatility Shock?

All’s well that ends well in Japan after a six-day slide. Or maybe not.

‘Wolves’: Albert Edwards Returns To Outline The ‘Nightmare Scenario’

“It could happen tomorrow given the extreme expense of US equities and the near universal consensus of a continued acceleration in the economic cycle despite the Fed also in the midst of a tightening cycle.”

Chuck Norris Goes Long Volatility

“…people think that even Chuck Norris can’t make money buying vol.”

Cohn-Heads

But not like Beldar.

Searching For Gandalf: Traders Weigh In On Thursday’s ‘Kolanovic Moment’

“Is this really sensible?!”…

Is Risk Parity Deleveraging The Biggest Risk To Markets?

“However, relative to CTAs there is much less transparency on the total size of assets in risk parity and equity vol control strategies let alone the subset of which is completely rules-based.”