South Korea Stock Market volatility hits highest level in history, surpassing the Global Financial Crisis
Source: Barchart, Bloomberg
Single Stock Volatility relative to the CBOE Volatility Index $VIX has reached its largest gap in history
Source: Bloomberg, Barchart
Semiconductor volatility is exploding.
The average 3-month implied volatility of the 10 largest U.S. semiconductor stocks has surged to 72%, its highest level in at least a decade—and more than double where it stood in 2016. The market is reacting fast: SOXX has fallen 14% in just a few sessions, while the leveraged SOXL ETF has plunged 40%. This is the sector that powered the AI bull market. History shows that when semiconductor volatility spikes to these extremes, markets start questioning the sustainability of the cycle. Is AI's biggest winner becoming its biggest risk? Source: Global Markets Investor, Citadel Securities
Today's vol regime explained in one chart
This chart explains today's volatility regime remarkably well. Massive leverage and extreme AI speculation continue to drive global tech volatility, with Korea's KOSPI remaining the epicenter of the mania. First KOSPI VIX Then Nasdaq volatility And finally the "boring" VIX... Source: TME
OVX (the VIX equivalent for Oil) has almost completely round-tripped the war spike, trading back near pre-conflict levels.
Markets have aggressively removed geopolitical risk premium, even though the region remains far from calm. Volatility is not screamingly cheap, but it offers a relatively inexpensive way to express a directional oil view or simply own gamma should tensions escalate again Source: TME
The idea of gold as a global “VIX hedge” doesn’t hold up. During the latest volatility spike, it moved in the opposite direction.
Source: The Market Ear
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
