Well, it finally happened. The short volatility trade blew up and the volatility genie is now out of the bottle. Credit and monetary conditions are still extremely loose so this should calm down soon, but I doubt we see a low volatility regime like 2017 in a long time. So here’s what happened: Two Inverse…
2017 has been the year to sell volatility. Volatility on nearly all asset classes has been compressed to historically low levels, which is a function of the world’s major Central Banks going into asset purchase overdrive for the past 18 months. When you flood the global financial system with free money, people tend to leverage…
Following the slowest month in a long time, with volatility being compressed again, I thought it was a good time to highlight an important underlying driver of markets these days: volatility. Volatility (more importantly implied volatility) is measured and today is an actual asset class that you can “invest” in for diversification purposes. A few…