“What makes this new ‘efficiency’ almost surreal is that in many ways this year’s market moves are harder to interpret than many past years.”
Category: volatility
The High Risk Of Low Vol: Complacency, Moral Hazard, & Anxiety Attacks
“Complacency has moral hazard inscribed into it. It encourages bad behavior and penalizing dissent – there is a negative carry for not joining the crowd, which further reinforces bad behavior.”
The “Most Obvious Reason” To Short Vol. Is Revealed…
“They’ve made a lot of money”…
“Waiting Time” Sucks: What Is A Vol Seller, Really?
“Dissensus has emerged as a new paradigm – an absolute inability to form consensus across variety of contexts, accompanied with an onset of a breakdown of conventional frames of reference. So, what does one do when no decision can be made? Well, one waits.”
Deutsche Bank Presents: An Updated Guide To The Low Vol Regime
“If there was sufficient loss of political support in the US for many of Trump’s policies such that the chance of successful execution falls towards zero, then central banks may need to return to the forefront of the deflation battle. Central Bank support for the economy was starting to lose credibility amongst some investors last year.”
Just 3 Charts…
Spot the odd one out…
This Is “A Worrying Development”: OECD Compares US Stock Bubble To “Dot-Com Boom”
“In excess of fundamentals”…
Trader: “There’s So Much Going On People Are Dealing With It By Blocking It Out”
“In reality, there’s so much going on that people are dealing with it by blocking it all out. It’s an added allure of index funds. You get to decry villainy and irrationality while simultaneously investing in it under the guise of having no choice.”
One Strategist Is Sick To Death Of Hearing You Talk About The VIX
“But the VIX is low for a reason. Complaining that it doesn’t show the proper level of “fear” is like complaining that you can’t use a corkscrew to change a bicycle tire: it’s trying to use a tool in the wrong way.”
Albert Edwards: “The Reflation Trade Is Trump-Inspired Fake News”
“The last time volatility in the US bond market was this low (and complacency this high), 10y yields spiked up some 150bp in only four months as part of Bernanke’s ‘Taper Tantrum’. “
“Political Immunity” And Markets
“Technical factors and central bank liquidity have allowed markets to suspend disbelief.”
The “Inevitable” Return Of Volatility: One Pro Explains The Ticking Vol Time Bomb
“Stewards of capital should be actively considering the potential knock-on effects that result from contractual deleveraging triggered by the inevitable volatility spike.”
Volatility Has Collapsed Across Assets. One Bank Asks “Now What”?
Volatility has become the market’s perpetual topic du jour (does it make sense to use “perpetual” and “du
Feed Your “VIX-ation” – Rocky’s Back To Answer All Your VIX Questions
Market participants are suffering from (or maybe “relishing in” is better) a veritable “VIX-ation.” Why
“If VIX Can Do It…” – One Bank Asks If IG Credit Is A Sure Bet “Cheap Short”
“Has the so-called floor for IG risen since 2014? And if it has, does it represent a cheap short at these levels?”
“Sharks In The Sea Of Tranquility” – Looking Ahead
So what did we learn last week? Well, we learned that despite what amounts to
“We’re Approaching A Margin Call” – The “Trump Put,” Volatility, & One Analyst’s Masterpiece
“When expressed in options language, the Trump put has the same decomposition as the Bernanke put during the QE period. Effectively, this is a supply of equity vol to the market financed by “selling puts†on President’s credibility. However, in contrast with the Fed whose communications with the markets reduced volatility, the new political transparency, as communicated through presidential tweets and political discourse, has been generally volatility increasing.”
“Peeps Be Cray” – VIX ETP Edition
“I’m only burning my half.”
“Not All Sunshine And Rainbows”: Goldman “Finds Fear” In These 15 Stocks
“While we have written extensively about how fear metrics in the broad market are near record lows, there are some stocks where investor concerns are high.”
Investigating The Market’s “Nightmare Scenario”
Right, so one thing people are becoming increasingly concerned about is the extent to which
No Further Comment: VIX Edition
Speaks for itself.
China Rolling Over + Ballistic Missile Test By Hermit Regime = “Monday Risk-Friendly Tone”
“The weekend news – softer industrial production, Capex and retail sales in China, higher oil prices as Saudi Arabia and Russia agree that output cuts should be extended through Q1 2018, a North Korean ballistic missile test – sees us start in mild risk-friendly tone.”
Wait A Minute. Maybe People Aren’t As Fired Up About Emerging Markets As We Thought
“Yet at the same time as these headlines appear daily, our interactions with investors regarding EM continue to resemble pushing the boulder up a hill. Sadly, the boulder does not have wheels on it, and the hill is a mighty steep one.”
Goldman: It’s Time To Replace Your Stocks
“Single stock vols have reached the lowest level on record (since 1990) – and we see stock replacement strategies as attractive to limit risk but still maintain upside exposure.”
Guest Post: The VIX Article No One Will Like
“Holy shit! That does look scary. Short interest going from under 15 million shares to 65 million in less than a year. But instead of hyperventilating about this, let’s step back and take a moment to think.”
Goldman’s Stark “Survival Guide” Warning: “There Is Uncertainty But No Fear”
“The juxtaposition of rising policy uncertainty vis a vis declining fear in risk assets raises cause for pause.”
SocGen: “This Is Really Unhealthy – But We’ll Stick With It”
“The demise of volatility remains the most striking feature of this market”…
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