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Category: volatility

‘Liquidity’s Heisenberg Uncertainty Principle’: Goldman Goes Looking For Market Liquidity, Doesn’t Find Much

July 23, 2018July 23, 2018

“Months after the VIX spike, bid/ask depth is still not back to normal”.

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1 Comment on ‘Liquidity’s Heisenberg Uncertainty Principle’: Goldman Goes Looking For Market Liquidity, Doesn’t Find Much

Where The Wild Things Are: Revisiting The Forgotten Horizon In The Volatility- Leverage Space

July 20, 2018

“And now,” cried Max, “let the wild rumpus start!” …

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1 Comment on Where The Wild Things Are: Revisiting The Forgotten Horizon In The Volatility- Leverage Space

All Quiet On The Western Front?

July 14, 2018

Not exactly.

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4 Comments on All Quiet On The Western Front?

The ‘Non-Stop Event Risk Cabaret’: This Is The Tie That Binds 2018’s Market Shocks

July 11, 2018July 12, 2018

“Buy the dip” is now “sell the rip”, don’t ya know?

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Heat Wave? One Bank Checks Their Heatmap For Signs Of A High Volatility Regime

July 10, 2018July 10, 2018

“Overall, the broad picture remains healthy”, but at the same time…

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(Black) Swan Lake

July 7, 2018July 9, 2018

Duck, duck, swan.

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For One Bank, This Is ‘One Of The Most Striking Developments Of The Past Few Weeks’

May 15, 2018May 15, 2018

Hint: it’s the normalization of U.S. equity volatility.

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‘They’re Still The Largest Sellers Of Vol.’: And So, The Baton Is Passed To Forward Guidance

May 14, 2018May 14, 2018

Remember, “transparency as a way of stabilizing the markets has become a tool of suboptimal control.”

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2 Comments on ‘They’re Still The Largest Sellers Of Vol.’: And So, The Baton Is Passed To Forward Guidance

Here’s Why Goldman Thinks ‘Long Volatility Strategies Are Timely’

May 11, 2018

“Historic lows”…

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2 Comments on Here’s Why Goldman Thinks ‘Long Volatility Strategies Are Timely’

‘February Was As Significant As The 2007 Quant Meltdown’: Here’s What Goldman Expects For Volatility

May 10, 2018

Just buy the dip, Jerry. Everyone’s buying the dip.

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Volatility: Proudly Made In The U.S.A.

April 29, 2018April 29, 2018

Make domestic equities volatility again. #MDEVA

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Revisiting The Hierarchy Of Vulnerability (Again)

April 24, 2018April 24, 2018

The bottom line (or at least from where I’m sitting), is this…

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1 Comment on Revisiting The Hierarchy Of Vulnerability (Again)

Let’s Talk About ‘Extreme’ Moves And Volatility Spillover Some More, Ok?

April 23, 2018

And so the debate continues.

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1 Comment on Let’s Talk About ‘Extreme’ Moves And Volatility Spillover Some More, Ok?

A Unified Theory Of Everything: From The Fed, To Volatility, To LIBOR To BTFD

April 19, 2018April 19, 2018

Got all of that? 

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‘A Taste Of The High (Vol.) Life’, Courtesy Of Goldman

April 17, 2018April 17, 2018

Again, please: “We’re not in Kansas anymore.”

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One Trader Asks: ‘When Will The Volatility Finally Spread?’

April 10, 2018

“Instead of mindlessly staring at the VIX to get a sense of the market’s volatility worries, I have created a new index.”

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Have You Heard The One About The Dirty Shirt And The Flat Skew?

April 8, 2018April 8, 2018

Ok, but who eats messy food in a spotless white shirt?

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Goldman Isn’t Saying Now Is The Time To Hedge, They’re Just Saying If There Was Ever A Time To Hedge, It’s Probably Now

April 2, 2018April 2, 2018

Listen…

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3 Comments on Goldman Isn’t Saying Now Is The Time To Hedge, They’re Just Saying If There Was Ever A Time To Hedge, It’s Probably Now

‘Rates < HY < IG < Equity': Hierarchy Of Vulnerability Revisited

March 28, 2018March 28, 2018

“This seemingly counterintuitive result has a distinct ‘path-dependent’ flavor.”

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2 Comments on ‘Rates < HY < IG < Equity': Hierarchy Of Vulnerability Revisited

Trader: This ‘Out-Of-The-Blue Outcome Could Hurt Some Market Players’

March 26, 2018November 13, 2018

“While there can be no denying that stock markets often take the escalator up and the elevator down, this generalization is far from a law of nature.”

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As Geopolitical, Policy Risks Build, This Is The ‘Hierarchy Of Vulnerability’

March 24, 2018March 24, 2018

“…which market sectors are going to be the more vulnerable than the others?”  

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2 Comments on As Geopolitical, Policy Risks Build, This Is The ‘Hierarchy Of Vulnerability’

Breathe In, Breathe Out

March 16, 2018March 16, 2018

“Waiting to inhale.”

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There’s Nowhere To Hide.

March 12, 2018March 12, 2018

Good luck.

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One Bank Sees Volatility ‘Spilling All Over The Place’

March 8, 2018March 8, 2018

“…volatility across various asset classes can be at times highly correlated and hence the extraordinary growth of short volatility strategies might create risks.”

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Goldman Asks The Big Question: Is This The End Of The Low Vol. Regime?

February 28, 2018February 28, 2018

The narrative in 2017 revolved around two things…

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3 Comments on Goldman Asks The Big Question: Is This The End Of The Low Vol. Regime?

The February Vol. Spike ‘Shattered All Previous Events In Terms Of Fragility’

February 23, 2018February 23, 2018

Handle with care.

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1 Comment on The February Vol. Spike ‘Shattered All Previous Events In Terms Of Fragility’

Good News: Marko Kolanovic Still Sounds Pretty Bullish

February 23, 2018February 23, 2018

Gandalf. Need more Gandalf.

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