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Category: VIX

Averting The Worst-Case, Calling The Top, And Prepping For Vol. Events

August 1, 2020August 1, 2020

Earnings season isn’t turning out as dire as expected. That statement is both true and

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4 Comments on Averting The Worst-Case, Calling The Top, And Prepping For Vol. Events

Nomura’s McElligott: Systematic Strategies Helping Drive Rally As CTAs, Vol-Control Mechanically Buy

July 20, 2020July 20, 2020

“With the simple mathematical reality of realized volatilities over short-term (trailing) windows likely collapsing lower

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The Final Leap: America’s Overlapping Crises May Make Fed Stock Buying Inevitable

July 12, 2020July 12, 2020

“If you don’t think that the mechanical processes that have been worked out over the

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32 Comments on The Final Leap: America’s Overlapping Crises May Make Fed Stock Buying Inevitable

Deutsche’s Kocic On ‘5 Major Crises’ And ‘The Big Whipsaw Of 2020’

July 11, 2020July 12, 2020

“Markets are not behaving in a conventional way, in any historical, traditional or logical metric

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4 Comments on Deutsche’s Kocic On ‘5 Major Crises’ And ‘The Big Whipsaw Of 2020’

Fast and Furious.

July 4, 2020July 5, 2020

2020 is not a year during which you can write off indeterminacy using that old adage: “There’s always uncertainty”.

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8 Comments on Fast and Furious.

The Role Of (Il)liquidity In History’s Greatest Bear Market Rally

July 3, 2020

The result…

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7 Comments on The Role Of (Il)liquidity In History’s Greatest Bear Market Rally

Nomura’s McElligott: The Machines Are Getting Long And Covering Shorts In Real-Time

July 2, 2020July 2, 2020

“Remember my generic thinking on these strategies: ‘Volatility is the exposure toggle.'”

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‘We Need To Re-Evaluate Our Understanding Of Volatility’: The Babadook Revisited

June 26, 2020June 26, 2020

To be sure, we had ample warning.

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9 Comments on ‘We Need To Re-Evaluate Our Understanding Of Volatility’: The Babadook Revisited

Nomura’s McElligott On ‘Big Deal’ Trend Inflections And June Sequencing

June 1, 2020June 1, 2020

“…a broader distribution of outcomes [and] a wider range thereafter”.

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3 Comments on Nomura’s McElligott On ‘Big Deal’ Trend Inflections And June Sequencing

Unshackled (Redux): Nomura’s McElligott Sees Potential For Wider Price Moves Next Week

May 14, 2020

Prepare for a possible ‘unclenching’.

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7 Comments on Unshackled (Redux): Nomura’s McElligott Sees Potential For Wider Price Moves Next Week

Characteristically Surreal.

May 8, 2020May 9, 2020

“If you don’t [think] the Fed is buying stock ETFs on the next market shock, you are wrong.”

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oil2 Comments on Characteristically Surreal.

With Stocks In ‘No Man’s Land,’ Nomura’s McElligott Delivers Summer Outlook, ‘Roadmap’ For Second Half

May 6, 2020May 6, 2020

The summer fade, and a possible bounce thereafter.

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9 Comments on With Stocks In ‘No Man’s Land,’ Nomura’s McElligott Delivers Summer Outlook, ‘Roadmap’ For Second Half

Nomura’s McElligott: New US-China Fight Could Be ‘Dreaded Macro Shock-Down Catalyst’

May 1, 2020May 1, 2020

Just when you thought it was safe…

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4 Comments on Nomura’s McElligott: New US-China Fight Could Be ‘Dreaded Macro Shock-Down Catalyst’

Nomura’s Charlie McElligott Explains Why Stocks Rallied In Face Of Depression

April 30, 2020

These are modern markets. You must learn to speak the language.

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10 Comments on Nomura’s Charlie McElligott Explains Why Stocks Rallied In Face Of Depression

Nomura’s McElligott: CTAs Set To Flip Long In S&P As Vol Normalization Triggers ‘Second-Order Slingshot’

April 28, 2020April 28, 2020

Back to “normal”?

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5 Comments on Nomura’s McElligott: CTAs Set To Flip Long In S&P As Vol Normalization Triggers ‘Second-Order Slingshot’

Collapse In Vol Of Vol Shows ‘Grab For Tails’ Out Of Steam, Nomura’s McElligott Says, As Stocks Try To Normalize

April 23, 2020April 23, 2020

“If you’ve learned anything post-crisis…”

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12 Comments on Collapse In Vol Of Vol Shows ‘Grab For Tails’ Out Of Steam, Nomura’s McElligott Says, As Stocks Try To Normalize

Deutsche’s Kocic: The Last Two Months Show The Intrinsic Instability Of Our Entire Economic System

April 18, 2020April 18, 2020

“The truth is simple.”

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24 Comments on Deutsche’s Kocic: The Last Two Months Show The Intrinsic Instability Of Our Entire Economic System

Depressions Used To Mean Something.

April 15, 2020April 16, 2020

“Black & white memories”.

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3 Comments on Depressions Used To Mean Something.

Nomura’s McElligott Talks Flow Catalysts As VaR Shock Fades, Markets Eye Stimulus, Recession

March 26, 2020

“…despite everybody knowing this is just the beginning of a horrific few months of data to come.”

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2 Comments on Nomura’s McElligott Talks Flow Catalysts As VaR Shock Fades, Markets Eye Stimulus, Recession

Nomura’s McElligott: The Fed Is Now ‘Chief Risk-Taker And CIO’ (And Other Fun Market Notables)

March 24, 2020March 24, 2020

So much to backstop, so little time.

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4 Comments on Nomura’s McElligott: The Fed Is Now ‘Chief Risk-Taker And CIO’ (And Other Fun Market Notables)

After ‘Great Liquidity Crisis,’ JPMorgan’s Kolanovic, Nomura’s McElligott Look Back And Ahead

March 20, 2020March 21, 2020

“Many aspects of this crisis have played out in-line with our prediction”.

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10 Comments on After ‘Great Liquidity Crisis,’ JPMorgan’s Kolanovic, Nomura’s McElligott Look Back And Ahead

‘It’s Bad’

March 16, 2020March 16, 2020

Pride goeth before destruction, and an haughty spirit before a fall.

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9 Comments on ‘It’s Bad’

‘There Are Calls For A Market Closure To Stop The Bleeding’

March 16, 2020March 16, 2020

“Equities players voice no desire to even think about playing offense”.

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12 Comments on ‘There Are Calls For A Market Closure To Stop The Bleeding’

Unshackled!

March 11, 2020March 11, 2020

“…daily amplitudes not seen since 2011.”

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2 Comments on Unshackled!

‘Cross-Asset Pandemonium’: Market Crash Triggers Circuit Breaker On Black Monday For Wall Street

March 9, 2020March 9, 2020

“Describing the conditions as turbulent is an understatement”.

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1 Comment on ‘Cross-Asset Pandemonium’: Market Crash Triggers Circuit Breaker On Black Monday For Wall Street

Nomura’s McElligott: ‘Last Of The Generals’ Falls, As Legacy ‘100%’ CTA Nasdaq Long Up In Smoke

March 9, 2020March 9, 2020

“CTA ‘trigger’ levels for equities will increasingly matter again”…

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Leave a Comment on Nomura’s McElligott: ‘Last Of The Generals’ Falls, As Legacy ‘100%’ CTA Nasdaq Long Up In Smoke

S&P Needs To Rally 8-10% To Escape Gamma Trap, One Bank Says

March 7, 2020March 7, 2020

“Almost” there…

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1 Comment on S&P Needs To Rally 8-10% To Escape Gamma Trap, One Bank Says

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