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Volatility Traders Suddenly Scared Of (Stock) Heights?

Via Dana Lyons' Tumblr, Despite the S&P 500's jump to new all-time highs, trading in the short-term volatility market is signaling elevated levels of fear. We mentioned yesterday that some strange developments were afoot in the stock market lately. Well, the strangeness continued through yesterday's market action. Today we look at unusual activity in the […]


Deutsche Bank Explains The Five Biggest “Market Conundrums”

While pundits contemplate whether the bitcoin bubble is bigger, smaller or the same size as the dot com bubble, few are willing to admit that day to day events in the equity market are just as ridiculous, bubbly and bizarre as what takes place in the crypto realm. To address this lack of coverage, yesterday […]


The Source Of The Next Crisis

Authored by Kevin Muir via The Macro Tourist blog, In 1992, the CBOE hired Robert Whaley to develop a tradeable volatility product on equity index option prices. A year later, in 1993, the VIX was born when the CBOE started publishing real-time quotes on the implied volatility of the calculated S&P 500 index options. In […]


Gresham’s Law

Authored by Ted Rivelle via TCW.com, This year’s Nobel prize in economics was awarded to Richard Thaler, a pioneer of behavioral economics. But there is a tale told by a lesser known Nobel laureate, Kenneth Arrow. As a World War II weather officer, he was tasked with analyzing the reliability of the army’s long-range weather […]


Why Pound Volatility Is Here To Stay

By Vassilis Karamanis, an FX and rates strategist who writes for Bloomberg. Brexit Ructions May Mean Sustained Pound Volatility: Macro View This week’s spike in the volatility of the British pound could prove longer-lasting than the bouts of instability seen so far in 2017. One-month implied volatility for GBP/USD is on course for the biggest […]


In The Shadows Of Black Monday – “Volatility Isn’t Broken… The Market Is”

Authored by Christopher Cole via Artemis Capital Management, Volatility and the Alchemy of Risk The Ouroboros, a Greek word meaning ‘tail devourer’, is the ancient symbol of a snake consuming its own body in perfect symmetry. The imagery of the Ouroboros evokes the infinite nature of creation from destruction. The sign appears across cultures and […]


“One Of The Biggest Fears I Have Is I Miss It”: There Is A Sudden Rush To Open Long-Vol Funds

Last month, Soc Gen analyst, Praveen Singh, analyzed evolving cross-asset volatility trends, and boldly went where so many have unsuccessfully gone before. Singh’s warning was that the market is "now entering dangerous volatility regimes." The crux of Soc Gen’s argument was mean reversion, notably that the current low level of volatility happens less than 2% […]


Kass Warns: “The Probability Of A Flash Crash Grows Exponentially”

Submitted via Doug Kass, "We seem to be living in the riskiest moment of our lives, and yet the stock market seems to be napping. I admit to not understanding it.' –Dr. Richard Thaler, Nobel Prize winner In an interview with Bloomberg Tuesday, University of Chicago economics professor Richard Thaler went on to say in response to […]


Minsky, Myopia, & Why The S&P 500 Is A Bloated Corpse

Authored by Raul Ilargi Meijer via The Automatic Earth blog, According to Hyman Minsky, economic stability is not only inevitably followed by instability, it inevitably creates it. Complacent humans being what they are. If he’s right, and would anyone dare doubt it, we’re in for that mushroom cloud on the financial horizon. We know that […]


Protecting Your Blind Side – Hedging & Spitznagel’s Tail Strategy

Authord by 720Global's Michael Lebowitz via RealInvestmentAdvice.com, Protecting your Blind Side “The price of protecting quarterbacks was driven by the same forces that drove the price of other kinds of insurance: it rose with the value of the asset insured, with the risk posed to that asset.”  -Michael Lewis, The Blind Side Counter-intuitively, that is often […]


Hedge Funds Have Never Been This Short The VIX

Earlier this week, in the latest observations of broad market complacency, we pointed out that the VIX has remained heavily subdued in September – a month when volatility usually picks up – shrugging off rising geopolitical tension with North Korea, several destructive storms, and the Fed’s plan to normalize its balance sheet, while defying seasonal […]


For The First Time Since January 2016, The Market Volatility Regime Finally Snapped

August 17 marked the first time since January 16 when global equity, rates, commodity and FX vols all moved in the same direction.  At the same time, short-dated cross asset correlation continued to rise reaching a level of 50%, its highest level in over 1y. For months on end, traders, analysts and pundits have been […]


“This Has Never Happened Before”: Goldman Warns Low-Vol Regime Is In Jeopardy

Picking up on something we first noted over a month ago, and following last week’s VIX fireworks, this morning Goldman’s Ian Wright looks at the rapid changes in the volatility landscape – beyond just last Thursday’s near historic surge in the VIX which shot up from single digits to over 17 in 48 hours – […]