As shown by Jeroen Blokland >>> The Ishares 20+ Year Treasury Bond ETF is down 48% since April 2020.
This means investors have realized a negative return of 15% annually on long-duration bonds over the last four years. Moreover, this 'return' was realized with structurally higher volatility and, on average, a positive correlation with stocks. It also means the market for long-duration bonds has to double(!) to erase losses. Source: Jeroen Blokland
CBOE Volatility Index $VIX surges to highest level of fear since Halloween 👻🎃
Source: Barchart
The volatility index, $VIX, spiked 23% this week, the largest weekly jump since September 2023.
It also marked the highest weekly $VIX close since November 2023. Meanwhile, the Dow posted its worst week of 2024 so far. This week, we will receive crucial inflation data including CPI and PPI inflation. If CPI inflation rises again, it will mark the 3rd straight monthly increase in inflation. Will the VIX continue to increase? Source: Bloomberg, The Kobeissi Letter
Interest Rate Volatility Drops Below 100 for the First Time in 6 Months!
The #MOVE index, a key measure of US #interestrate #volatility, has dropped below 100 for the first time since September 2023. This marks a significant shift in market dynamics. While attempts to breach this threshold have been made three times since early 2022, they were short-lived, with volatility bouncing back above 100 each time. For the past two years, the #government #bond market has been in a high volatility regime, making investing in long-term US #Treasuries challenging due to relatively low adjusted yield to volatility. The question now is whether this high volatility regime is coming to an end or if it's just another false alarm. Several indicators suggest that this could be another false signal. Growing uncertainty surrounding #inflation in the US may prompt the #Fed to adjust its monetary policy, potentially implementing a reverse operation twist (and thus steepen the yield curve). Additionally, there's still a positive #carry from #shorting bonds. However, signs of improvement are emerging as well. Recent #auctions have shown that the market is absorbing the supply effectively, and the #correlation between bonds and equities is turning negative again. Could this be a pivotal moment in the US Treasuries market? Let's keep a close eye on how things unfold. Source: Bloomberg #fixedincome #bond
“Volmageddon” is not a Word in the Dictionary.
This term is a blend of "volatility" and "Armageddon," and it refers to a significant and sudden increase in market volatility. It specifically references an event on February 5, 2018, when the stock market experienced a sharp increase in volatility.The previous time the skew reached such a low level was on that exact day, mere hours before Volmageddon caused the VIX to skyrocket, moving it from a serene level of 14 to a heightened state of 40. source : zerohedge
Average 3-month ATM implied volatility (max/min range since 2008)
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CBOE Volatility Index $VIX jumps to highest level in more than 2 months
Source: Barchart
The volatility index, $VIX, is up 14% to kick off the first trading day of 2024. This puts the $VIX on track for its biggest daily jump since October 13th
Source: The Kobeissi Letter
