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
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
