Post crisis lows
VIX at the lowest levels since the early April panic. Note the aggressive VVIX implosion, as well as the latest little bid in VVIX. Volatility is not dirt cheap, but early long volatility positions/hedges are starting to screen attractive again. Our full volatility note from earlier today here.
Source: Refinitiv
Not all stress at recent lows
Skew has managed holding up lately. The gap vs VIX is getting a bit short term wide. People starting to pay up for downside protection again?
Source: Refinitiv
Desperate for a pause
Google “buy gold” searches have exploded, moving in close tandem with gold spot. This should calm down…
Source: GS
CTAs need to sell some gold
It is not momentum related, but more volatility related, writes GS.
Source: GS
No bueno for the dollar
DB tracks two near real-time measures of US capital flows, both showing a sharp stop in foreign inflows to US bonds and equities over the past two months. The evidence suggests either a rapid slowdown or active disinvestment, both of which challenge the USD given the twin deficit backdrop. Notably, despite a recovery in US asset prices, foreign investors continue to show persistent selling pressure, staying largely on a buyers’ strike.
Source: DB
Zoom out
EURUSD longer term chart right at the big negative trend line. The 200 weekly moving average is sloping negatively still…and the the FX pair has done nothing since 2015. FX is a relative game, but getting excited about the euro here looks like a late short term trade. Entire dollar note here.
