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Options Traders Haven’t Been This Worried About The Dow In 17 Years

'Price' and 'risk' have decoupled in The Dow over the past 6 weeks or so, since China intervened in its FX markets…   While US equity prices have soared across the board, Dow 'VIX' is up dramatically while S&P 'VIX' is down (as one would historically expect)… Smashing the cost of protection for The Dow […]

“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% […]

October Realized Volatility Is Now The Lowest On Record

After September was declared the lowest volatility month on record, October is starting auspiciously, if only for the vol sellers. After last week stocks rose again on renewed hopes of a Trump tax deal and following a payrolls report which showed the hottest wage inflation since the financial crisis, the S&P 500 closed the week […]

“Dancing On The Rim Of A Volcano”: Speculators Have Never Been More Short Volatility

With VIX ending Friday at its lowest weekly close ever, lowest monthly close ever, and lowest quarterly close ever – after the quietest September stock market in history – SocGen warned last Friday that the current situation is a "dangerous volatility regime" citing the strong mean-reverting tendency of uncertainty as a big reason for investors […]

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 […]

“This Has Only Happened Twice Since 2009” – A New Source Of Concern For VIX ETFs

Last week, ahead of the FOMC, we reported that in the latest striking development involving volatility derivative products, the total outstanding Vega across the entire levered and inverse VIX ETP space had reached $375 million, an all time high.  This, as Bank of America showed, was the result of the highest positioning in levered long […]

VIX Options Volume Hits All-Time High As Stock Speculators Risk Record Amount On Continued Calm

A record 2.61 million options on the VIX traded on Monday, surpassing a previous peak reached in August. Shockingly, Bloomberg reports that the activity appeared to be led by one investor, who rolled over a massive bet on a return in market turbulence to the end of the year. Shortly after Monday’s market open, an investor rolled over a […]

As VIX Nears Record Low, Investors Have Never Been More Worried About What Happens Next

As last week ended, VIX was crushed back near record lows to ensure the S&P 500 closed above 2500 and to prove all is well in the world – despite quakes, storms, floods, nukes, and worst of all… Fed balance sheet unwind plans.   And VIX speculators have never been more short (implicitly levered long […]

Ahead Of The Fed, A Reminder: Gross Vega On VIX ETFs Just Hit A “Staggering” All Time High

What if the Fed surprised today, and instead of only announcing a reduction in its balance sheet, it also sent an uber-hawkish signal by hiking rates 25 bps, something which virtually nobody expected? While stocks would certainly suffer an adverse reaction, as the Fed confirmed that its intention was to burst one or more asset […]

Beware “The False Peace” In Markets, Artemis’ Cole Warns Vol-Sellers’ Day Of Reckoning Looms

“Volatility is an instrument of truth," proclaims Artemis Capital's Chris Cole in a wide-ranging interview with The New York Times, warning that "the more you deny the truth, the more the truth will find you through volatility." In 2012, Artemis Capital's founder wrote one of the most profound letters on volatility regimes in the new […]

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 […]

VIX Set For Lowest Annual Average Ever, But…

While intra-month the CBOE Volatility Index reached its highest since November, before plunging back to earth into the end of the month, VIX is still on track to post its lowest annual average on record. Bloomberg notes that in the past decade, VIX gains in August were followed by September declines in all but one instance. While […]

“Friends Don’t Let Friends Buy VIX”

Authored by Peter Tchir via Brean Capital, I would NOT be selling volatility here.  My title was dripping with sarcasm… Selling Volatility Is Very Crowded and Dangerous Now You know a trade is getting crowded when my parents start asking about it.  You know just how one sided something is when people think that even […]

How To Hedge A Near-Term Market Shock: Here Are The Best Trades

As we showed earlier today, last Thursday’s unexpected, historic VIX explosion, driven by a surge of geopolitical worries about North Korea, and subsequent collapse was remarkable in both how fast and furious it was both on the way up and then, on the way down.As Bank of America said “both the spike in vol and […]