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Category: volatility

Is Modern Market Structure Ready For A Macro Regime Shift?

May 13, 2021May 14, 2021

On several fronts, one could argue that uncertainty has diminished materially over the last few

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Right Tail Only, Please

April 28, 2021April 28, 2021

By now, most market participants with more than a passing interest in the day-to-day goings-on

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2 Comments on Right Tail Only, Please

Grab Your (Left) Tails

April 21, 2021April 21, 2021

After poking their heads “out of the bunker” beginning early last month, market participants are

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MRA’s Curnutt Suggests Cure For Fund Manager ‘ROMO’

April 6, 2021April 7, 2021

Whenever it feels like a melt-up might be afoot, market participants (and the media) go

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Vol Control Plunge Protection, Gamma Gravity & April’s ‘Impulse Turn’

March 26, 2021April 1, 2021

If there’s “extra” equity supply out there due to any rebalancing away from stocks and

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2 Comments on Vol Control Plunge Protection, Gamma Gravity & April’s ‘Impulse Turn’

Marko Kolanovic: Don’t Fear The ‘Broadly Advertised’ Rebalancing Story

March 25, 2021March 31, 2021

“There will be no monthly selling, and indeed there could be buying of equities into

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Nomura’s McElligott: The Curve ‘Has Single-Handedly Told The Tale Of 2021’

March 22, 2021March 23, 2021

If you’re looking to hear the story of 2021 (for markets, I mean) you should

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Like A Lion

March 2, 2021March 3, 2021

“March came in like a proverbial lion,” Bloomberg’s Laura Cooper wrote Tuesday. “Sure, a Chinese

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1 Comment on Like A Lion

Don’t Be A Hero Without The Fed

February 28, 2021March 1, 2021

Some were “undaunted” by the second week of losses for US equities, which finally seemed

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1 Comment on Don’t Be A Hero Without The Fed

Marko Kolanovic Finds A Bubble – In The VIX

February 24, 2021February 25, 2021

Marko Kolanovic says the VIX is “bound to decline.” In a Wednesday note, Kolanovic blamed

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Nomura’s McElligott On A ‘Messy’ Nasdaq Amid Duration Drama

February 23, 2021February 24, 2021

“This further acceleration in the rates selloff is re-triggering the same point I’ve made in

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Charlie McElligott’s ‘Toggle’ Motto: Why A Broken Vol Market Matters

February 18, 2021February 19, 2021

Over the past week (maybe two), Nomura’s Charlie McElligott has been keen to emphasize that

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2 Comments on Charlie McElligott’s ‘Toggle’ Motto: Why A Broken Vol Market Matters

The VIX Is Still Screaming ‘Accident,’ Nomura’s McElligott Cautions

February 16, 2021February 19, 2021

US electricity markets grappling with a vicious deep-freeze aren’t the only places where a supply/demand

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1 Comment on The VIX Is Still Screaming ‘Accident,’ Nomura’s McElligott Cautions

Nomura’s McElligott: This Is ‘The BIG Thing We Need To Watch For’

February 11, 2021February 12, 2021

Investors are increasingly prone to grabbing for upside index exposure. It was cheap (previously, folks

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3 Comments on Nomura’s McElligott: This Is ‘The BIG Thing We Need To Watch For’

What If Reddit Targets The Volatility Complex?

February 1, 2021February 2, 2021

Will the retail army target the VIX complex next? That’s a question we probably shouldn’t

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14 Comments on What If Reddit Targets The Volatility Complex?

Nomura’s McElligott: ‘The VIX Is Broken — Again’

February 1, 2021February 1, 2021

“From a Vol market perspective, the issue is that the VIX is broken — again,”

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3 Comments on Nomura’s McElligott: ‘The VIX Is Broken — Again’

Nomura’s McElligott On Neon Swans From WallStreetBets

January 28, 2021January 29, 2021

“The Empire Strikes Back,” Nomura’s Charlie McElligott chuckled on Thursday, as platforms began to implement

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3 Comments on Nomura’s McElligott On Neon Swans From WallStreetBets

Stocks’ ‘Surrogate Buy Flow’ Could Reach $96 Billion, Nomura’s McElligott Says

January 20, 2021January 21, 2021

US equities are getting a helping hand from a familiar place. “Systematic Vol Control is

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‘Agnostic’ Sellers: The ‘Doom Loop’ During The Pandemic

January 16, 2021January 18, 2021

Name something more potentially dangerous than “a large, fundamentals-agnostic, owner of equities.” Go ahead, I’ll

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2 Comments on ‘Agnostic’ Sellers: The ‘Doom Loop’ During The Pandemic

Where We Are & Where We Could Be Going

January 11, 2021January 11, 2021

You can thank, in part anyway, the virtuous volatility compression feedback loop for US equities’

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11 Comments on Where We Are & Where We Could Be Going

Nomura’s McElligott Talks Georgia, ‘Neon Swan’ Parallel

January 6, 2021January 8, 2021

Early Wednesday, while documenting the initial reaction to a likely Democrat-controlled Senate following the Georgia

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3 Comments on Nomura’s McElligott Talks Georgia, ‘Neon Swan’ Parallel

Bubble, Bubble, Froth & Frenzy

January 4, 2021January 8, 2021

“To wake [up] and see Bitcoin down 15% at one point overnight was certainly reflective

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4 Comments on Bubble, Bubble, Froth & Frenzy

‘Pain Point’: Nomura’s McElligott On Dollar Squeeze, Gamma Drop-Off

December 21, 2020December 21, 2020

The dollar jumped the most since March on Monday before eventually trimming gains. The initial

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A ‘Big Change’ In Hedging Focus. And Don’t Forget About Tesla

December 15, 2020December 15, 2020

Every box was checked. The worst-case, “science fiction” election outcome didn’t play out, even as

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1 Comment on A ‘Big Change’ In Hedging Focus. And Don’t Forget About Tesla

Bullish Catalysts And Volatility Suppressants For 2021

December 11, 2020December 12, 2020

Let’s talk bullish catalysts. Or, if you like, we can call them “factors with the

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2 Comments on Bullish Catalysts And Volatility Suppressants For 2021

Hot Takes Galore: Key Macro Thoughts And ‘Good Stuff’ With Nomura’s McElligott

December 10, 2020December 10, 2020

Whatever happens later, the “now” is still under the influence of the same set of

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Nomura’s McElligott: ‘Right-Tail, Crash-Up’ Still Most Likely Scenario Despite ‘Scary’ Sentiment Overshoot

December 8, 2020December 8, 2020

The ongoing compression of realized volatility into a rally that saw US equities push to

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Monthly Letter+

  • Lost At Sea

    March 11, 2023March 11, 2023

Week’s News

Great American Deposit Debate Spotlights Legislative Gridlock

March 27, 2023March 28, 2023

Failing Banks, Persistent Inflation Promise Fun-Filled Week

March 26, 2023March 27, 2023

We’re Scaring Ourselves Into Bank Runs Now

March 24, 2023March 26, 2023

It’s Not A Wage-Price Spiral. It’s ‘Greedflation’!

March 23, 2023March 24, 2023

Xi, Putin Revel In Pageantry As Show Of Defiance

March 20, 2023March 22, 2023

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Monthly Letters

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Exiles On Main Street

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