the sleeping giant wakes
market makers have loaded vol inventory in the last three months at abnormally low levels.
the seatbelt sign is now off and prices have been freed to move around cabin
the market has been playing chicken with the fed since august. the last vol run was 3 times present levels (25 v 8)
the one year peak 40 and the 5 year peak 800 (perish the thought or the bridge over the river kwai)
vol pricing is substantially below the belief that the fed will raise (heads firmly in the sand) and LP's will redeem because hedge fund performance this year has been -5-25% ($3 trillion in assets)
reasonable repricing is tvix 15. morning after vol 40
buckle up
market makers have loaded vol inventory in the last three months at abnormally low levels.
the seatbelt sign is now off and prices have been freed to move around cabin
the market has been playing chicken with the fed since august. the last vol run was 3 times present levels (25 v 8)
the one year peak 40 and the 5 year peak 800 (perish the thought or the bridge over the river kwai)
vol pricing is substantially below the belief that the fed will raise (heads firmly in the sand) and LP's will redeem because hedge fund performance this year has been -5-25% ($3 trillion in assets)
reasonable repricing is tvix 15. morning after vol 40
buckle up
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