“Doing their thing”.
Category: volatility
The Daisy Chain, ‘Crash-Up’, Equity Slingshot Setup Is Back In Play: McElligott
This makes the market especially “vulnerable” to good news.
Nomura’s McElligott: Gamma Impulse Again Concurrent With SPX Move, Markets ‘Stable’ But Iowa Risk Looms
Let’s keep things “edgy”, shall we?
Nomura’s McElligott On ‘Classic Short Gamma’ And $62 Billion In Potential Vol. Target Fund De-Risking
Just another example of why it’s crucial to understand the dynamics driving the price action.
Macro Tourist Wants To Talk About Vanna White (And Also Volatility)
“…it is becoming more of a self-reinforcing process with changes in VIX causing changes in the underlying asset”.
‘Stability Breeds Instability’: ‘Extreme’ Positioning From CTAs, Vol.-Targeters Raises Virus Contagion Risk
While timeless, it’s become even more germane over the last decade…
Markets ‘Still Insulated From Shocks’, Nomura’s McElligott Says, Amid Virus Scare
Lions, tigers, bears… it hasn’t mattered.
Volatility-Targeting Leverage Nears Highest Since January 2018. But You Probably Shouldn’t Panic
“Escalator up/elevator down”. But don’t forget the nuance.
‘Just As A Heavy Object Warps Spacetime’: All Hail The 4 Vol-Suppressing Forces
“Aggregate gamma on the S&P 500 was positive for more than three-fourths of 2019”.
Nomura’s McElligott On Markets After Soleimani Swan Song: ‘We Short Vol. Knowing We’re Backstopped’
And don’t forget about the gamma pin. And buybacks.
How Bad Would It Have Been Without The Xanax?
We may never know.
He’s No Janet Yellen, But For Now, ‘Straight-Up Bliss’
But, and there’s always a “but”…
A Year On, Markets No Longer Haunted By Ghost Of 2018 Christmas Massacre
And a partridge in a pear tree.
Vanguard Says Equity Volatility ‘Unsustainably Low’, 50% Odds Of Correction In 2020
Caution is warranted, according to the mammoth collector of assets.
Nomura’s McElligott Explains The ‘QE-Like Stasis’ Of An ‘Everything Works’ Market
So, is there any risk? Well, yes.
Will 2020 Be The Year ‘Politicians’ Implied Vol’ Finally Overwhelms Central Banks?
“…there have been periods during which volatility has returned, but central banks have largely succeeded in beating back the turmoil”.
‘Perspective Is Not A Static Concept’: Kocic Delivers 2020 Vol. Outlook And It Is Quite Something
“A consequence of our reaction to the underlying informational overload”.
Nomura’s McElligott On A Possible ‘Impulse Gap Higher’
“The market has [a lot of] protection which will get sold”.
Marko Kolanovic Delivers 2020 Outlook, Sees Higher Stocks, Better Macro
“At the depth of the market selloff last December, we set a controversial S&P 500 price target of 3,100 for 2019”.
FX Trading Is ‘Increasingly Complex And Fragmented’, And Volatility Is Near Record Lows. What Could Go Wrong?
“The current market configuration has emerged largely during a prolonged period of low volatility”.
Goldman’s Macro Model Did A Decent Job Predicting Volatility In 2019. Here’s What It Says For 2020
It’s worth adding a generic caveat…
Gamma ‘Close To The Cliff’, Raising Risk Of ‘Asymmetric Move Higher In Volatility’
Mind the gravitational field.
For Volatility, 2019 Is No 2017. But 2021 May Be
Looking back at history, it generally takes around two years for those feedback loops to fully manifest themselves.
Nomura’s McElligott Warns: ‘We’re Nearing Gamma Flip Risk In SPX’
Dry kindling, meet struck match.
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