“You can say no, but it is inconsequential.”
Category: volatility
Your Tails Aren’t As Fat This Week…
“…conversely declining vol of vol relative to vol, as we are seeing now, implies lower tail risks for the given present level of volatility.”
‘There Aren’t Many Things That Irritate’ Me More Than ‘Mindless Vol. Sellers’: Pirate
“There are few things more irritating to a macro trader than trying to scratch out directional returns in a static market as “mindless” vol sellers garner easy profits through a willingness to ignore risk.”
Through The Volatility Seller’s Looking Glass
“I was surprised. I didn’t expect the volatility selling to extend to most other financial markets. I had thought it was confined to equities, but I was obviously wrong.”
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
Record Complacency Is ‘Reasonable And Could Last A While Yet,’ John And Katherine Imagine
As you get your week started and as you prepare for the ECB to try
The ‘Permanent State Of Exception And A New Status Quo’
“With traditional market rules and relationships breaking down, central banks appear to be chasing the illusive target, which means that victory and the final goal are not well defined, which in turn insures the persistence of the “battle†and indefinite continuation of the state of exception.”
That’s Not Low Volatility, THIS Is Low Volatility…
We both agreed that while suppressed equity vol. grabs all the headlines, it is in fact credit’s Teflon performance that wins the John Gotti prize for “most bulletproof asset class.”Â
BofAML: ‘Simply Said’, Shit Just Isn’t That Volatile
You know, at a certain point this just becomes laughable and almost not worth mentioning.
Goldman: Here’s What Works Best In Low. Vol Regimes
“The S&P 500 and US HY credit have had roughly 9 and 19 times the risk-adjusted returns of US 10-year Treasuries, respectively, during these periods, while commodities have lagged materially.”
Wall Street Journal Thinks Armchair Vol. Sellers May Be A Gang Of Silly Idiots
“If volatility is no longer predictable, the “short-vol†strategies used by hedge funds, pension funds and institutional investors—and available through exchange-traded products, too—are riskier than their advocates suggest.”
This Hasn’t Happened Since 2002
Tech is scary.
VIX Call/Put Ratio Spikes Near Post-Crisis High
“If we are nearing the end of the current low vol regime, this has material implications for asset allocation and specifically volatility selling strategies, which have been increasingly popular.”
3rd Most Popular Equity 401k Has Highest Tech Exposure Since Dot-Com Bust
“The important thing is to know what you are invested in and be comfortable with it, so any further volatility doesn’t stress you out, or worse, freak you out and trigger a bout of panic selling.”
‘Turbo-Complacency’: Fear Gets A ‘New Dimension’ In Kocic’s Latest Masterpiece
“In the same way a boxer who drops his guard runs a risk of being knocked out, complacent markets are facing a potentially painful encounter with reality.”
Tech Turmoil: Black Swan Vol. Event Burns ETFs, Hedge Funds Dump Nasdaq Longs
“Do you see what happens?!”…
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.”
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
Goldman Answers The Big Question: “Are Volatility Selling Strategies Crowded?”
Fresh off releasing a 28-page report on the low vol. regime called “The Upside Of Boring,” Goldman is out on Wednesday asking an important question: “Are Vol. Selling Strategies Crowded?”Â
Explaining Low Vol In Dollar Terms (Literally)
“We believe that this risk-on phase (that started in January 2016) is coming to an end.”
Kolanovic Warns Of “Market Turmoil,” “Tail Risks” As Gandalf Ruins Your Friday
“Medium term, this is likely to lead to market turmoil, and a rise in volatility and tail risks.”
One Chart Shows The Stunning Disconnect Between Markets And Reality
It’s probably nothing…
Goldman Asks: How Long Can The Market Stay ‘Boring’ And When Will Volatility Spike?
“Since Q1 2016, volatility across assets, and in particular for equities, has declined and stayed remarkably low YTD. As a result, investors often ask how long the current ‘boring’ markets can continue, and what the risks and asset allocation implications are.”
Trader: Markets Need To Be Exposed To Politics Just Like The Rest Of Us
“Ultimately, there can’t be normalization without exposing markets to the same concerns as the citizenry at large. The divide in levels of being appalled by goings-on is dangerous and as much a fuel of populism as other, more obvious causes.”
You’re Goldman, And If You Ask You, Investors Need To “Sharpe”n Up
“But many investors are focused on the wrong objective.”
The Avalanche
“[An] avalanche is a good example of metastability to keep in mind — a totally innocuous event can trigger a cataclysmic event (e.g. a skier’s scream, or simply continued snowfall until the snow cover is so massive that its own weight triggers an avalanche).”
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