Do NOT expect bond volatility (MOVE index) to go down as long as oil prices stay elevated...
Source: Bloomberg, RBC
With markets getting close to oversold, everyone's hedged and global CTAs massively net sellers, there is some dry powder if the TACO trade finally takes place
Source: Goldman Sachs, RBC
Pinpointing the next “Taco” moment has become Wall Street’s newest fixation.
This week, Deutsche Bank’s head of cross-asset strategy, Maximilian Uleer, introduced a “pressure index” designed to act as a proxy for potential shifts in rhetoric or strategy from the US administration. The index incorporates several indicators, including the one-month change in Trump’s approval ratings, one-year inflation expectations, movements in the S&P 500, and US Treasury yields. Source: FT
Another data source for analyzing BTC and Bitcoin ETFs on the Bloomberg terminal: BTC volatility
James Seyffart @JSeyff
Bond vol matters
SPX vs VXTLT (inverted) needs little commenting. Source: TME
Is the volatility index VIX set to spike?
Asset managers have aggressively increased their VIX futures shorts to the highest level since July 2024. In other words, funds are betting heavily on continued low stock market volatility. Such extreme short VIX positioning often leaves markets vulnerable to sharp volatility spikes if sentiment turns. A similar setup occurred in July-August 2024, when a sudden shift in risk appetite drove a nearly -10% market drop. Are we heading for a pullback? Source. Global Markets Investors
VIX seasonality is about to kick in right here...
Source: Equity clock, The Market Ear
The great vol reset
We’ve seen a massive reset in bond volatility since the Liberation Day chaos. US Treasuries yields have gone nowhere, but at these levels owning some bond volatility offers limited downside with asymmetric upside. Source: The Market Ear, LSEG
