Grafer: Er køb af ETF i amerikansk nervøsitetsindeks VIX nu er no-brainer?

Grafer – uddrag fra Refinitiv, GS, Nomura & JPM

The saying is that you should buy VIX when you can, not when you have to – but this time it is slightly different – you have to buy it because the trade is simply too attractive to ignore.

1 – Natural floor

VIX is close to the “modern days” natural floor. Volatility is mean reverting, so don’t expect much lower levels of volatility.

Source: Refinitiv

2 – VVIX not buying it

The latest gap between VVIX and VIX is very wide. You pay attention to well bid VIX, despite things moving little at the moment.

Source: Refinitiv

3 – A record skew

VIX call skew hit all time high of 1.5x (the 3 month 5/50 delta call). Volatility is low, but tails are priced extremely rich. This makes VIX call spreads attractive.

Source: GS/Garrett

4 – The puke

VIX specs have puked “it” since the election. They are back to running rather big shorts. Such big changes in specs could become a problem should things start to move again…

Source: Refinitiv

5 – The chasers

ETNs are huge buyers of VIX should things get a little less calm. We have seen this movie play out before.

Source: Nomura

6 – The Christmas gift

Long VIX under the Christmas tree? We have a few more boring weeks, but VIX seasonality is very strong from mid January. Can you afford to wait?

Source: Equity Clock

7 – Hedge fund leverage getting extreme

Many of the positioning indicators we look at are now at extreme levels. We are only showing one here – JPM prime brokerage data showing how net leverage continues to spike. with percentile numbers in the high 90’s. This does of course matter for the VIX trade as well – a little less complacency leads to equity selling which leads to higher VIX. It’s all inter-connected.

Source: JPM PI