We think we could see a bullish back half of the year for equity markets. Our analysis follows in our Quarterly Strategy Report. Prefer to download this presentation in PDF? Please click here. 1. Summary -In the first half of 2022, markets experienced the largest wealth destruction...
Despite the relief rally yesterday, financial conditions have tightened significantly in the last couple weeks. This likely explains why the Fed just made an emergency 50bps cut to the fed funds rate. The graph below highlights that the two main areas of weaker financial conditions...
Even casual observers of the forex markets will have noticed that it has been a bit of a wild ride over the last several months. And, while currency volatility has spiked, equities have remained relatively placid. If this chart showing the historic relationship between the...
Having fallen from the recent highs earlier this year, various metrics of volatility in Europe have risen abruptly in the last few days– especially when viewed in the context of a rather subdued VIX (a measure of expected market volatility conveyed by S&P 500 options...
While the CBOE SKEW Index has fallen back somewhat from highs last fall (see our comment here), it remains quite elevated– both relative to history and on an absolute basis. Indeed, the further the index rises above 100, the higher the probability of ’outlier returns’. For...
With the major currencies making new 1-year lows against the USD, and with the GaveKal FX Volatility Index at two standard deviations below the long-term mean, we wonder if currency volatility has bottomed....
A few weeks ago, we noted the relationship between an inverted VIX curve and declines in the S&P500 (see here). Taking a longer-term view, we see that the last few years have been relatively quiet–characterized by few, intermittent inversions and minor pullbacks in the index....
A few weeks ago we wrote that the volatility of JPY/USD cross had absolutely collapsed and so we thought we’d give our readers an update to that post. Well, volatility in the JPY/USD cross has fallen even lower since then and is now pushing 40-year lows...
Demand for increasing protection against stock losses increased yesterday, as the price of the VIX jumped relative to the price of its own futures. In the past, an inversion between the spot and 3-month prices has signaled a decline in the S&P 500....
Ending a 66-day streak of consecutive days without a 1% down finish, the S&P500 finally succumbed to statistics as it lost about 1.2% today. Bonds and gold, on the other hand, rallied as the US 10-year treasury yield lost 7bps, the 30-year lost 6bps, and...
A lot has been written recently by us and others about the absolute collapse in volatility in financial markets. Whether stocks, bonds, FX or commodities, volatility is making multi-year lows, but the lack of volatility in the JPY/USD cross is among the most stunning of...
QuestionWhat are speculators long right now? Answer1) Stocks – from the E-mini S&P500, to the E-mini NASDAQ, to the E-mini Dow, to the E-mini Russell 2000 QuestionWhat are speculators short right now?...
Over the last five years, the CBOE Volatility Index (VIX) has had an 87% correlation with high yield spreads. If the VIX keeps rising, high yield spreads are likely to widen....
S&P 500 futures fall to 10 day lows this morning. The VIX is close to breaking out above 20....
