VIX Futures Term Structure: A Warning Sign?
Although the VIX is often cited as the market’s fear or anxiety gauge, the shape of its futures curve is often overlooked. The futures term ...
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Blogs
The Ukraine War: Surprising Effects
May 25, 2022Last March, I reviewed the Ukrainian war and its effect on certain commodity-based implied volatilities most influenced by the war, namely crude oil, natural gas, and wheat. Then early in its development, it was apparent that “the consensus was wrong ...
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Elevated Rate Uncertainty and the Bleed into Housing Construction
April 25, 2022Inflationary pressures and subsequent hawkish Federal commentary have led to bloodshed in the bond market, with treasuries posting their worst quarter since 1980. The aggressive rise in treasury yields also has a significant impact on real economic activity, as elevated ...
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Crypto Prices and Volatility: Unexpected Observations
April 18, 2022Recent developments in crypto currencies since the beginning of the Ukrainian war are surprising, to say the least, and may indicate whether crypto currencies are indeed a viable trading and hedging vehicle for the long term. Surprisingly, early indications are ...
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War and Volatility: It’s Not That Clear
March 21, 2022As of this writing, we are in the fourth week of the Russian-Ukrainian war. As is usually the case with war, its progress has been unpredictable and even surprising. Yogi Berra put it best: “It's tough to make predictions, especially ...
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Equities Get Caught in Vanna Hedging Wave
February 17, 2022In the final week of January 2022, the equity market experienced jaw-dropping intraday price whipsaws. On Monday, January 24, 2022, the S&P 500 saw a midday reversal of nearly 200 points, ending nearly flat to the open. What could have ...
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ARKK the Correlation Flood: Are Markets Mispricing ARKK Diversification?
January 28, 2022There has been lively debate surrounding the future of Cathie Wood’s ARK innovation fund (ARKK) actively managed portfolio. The discussion is centered around whether the valuations of the constituent stocks may be at least partially driven by ARK’s large ownership ...
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Russian Roulette: Implied Volatility and the Russian/Ukraine Situation
January 24, 2022Ongoing and increasing tensions between Russia and Ukraine are having a direct effect on European energy prices and, potentially, the implied volatilities and prices of certain European and US stocks in the energy, defense, and agricultural sectors. Although not well ...
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The FOMC and Forward Volatility – Will Hopes of a Santa Claus Rally be Crushed?
December 12, 2021Jerome Powell and the Federal Open Market Committee (FOMC) are slated to meet on Dec 14th and Dec 15th for what could be the most consequential FOMC meeting this year. Earlier this month, Powell commented on accelerating bond-buying tapering, and ...
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Inflation Risks and Treasury Skews
November 19, 2021Inflation anxieties continue to remain at the top of bond investors’ minds. The Consumer Price Index (CPI) clocked a multiyear record of 6.2% on Nov 10, spurring a rise in yields. Bond yields increase and bond prices fall with rising ...
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