Annonce

Log ud Log ind
Log ud Log ind
Formue

Nervøsitets indeks stiger drastisk: Her er The VIX Playbook

Morten W. Langer

mandag 15. april 2024 kl. 12:45

Uddrag fra The Market Ear

VIX & MOVE have exploded

After months of a low volatility world we finally see some action in both VIX and MOVE. It is safe to say that derivatives markets are seeing more perceived risk than how actual equity markets are trading. Some even say that there is more upside to VIX from here. Our belief is that there is “catch-down” potential for equities from here, but that especially VIX probably has gone a little too far too fast.

What goes down must come up

Bond volatility has put in the biggest up move since September last year. Just when everybody agreed bond volatility was dead…

Source: Refinitiv

 

Imagine all of SPX sharing all of the MOVE move

Imagine SPX started paying attention to the latest rise in bond volatility?

Source: Refinitiv

 

It’s happening

Stocks are again negatively correlated to yields, especially small caps.

Source: Morgan Stanley

 

GS says VIX has more room to rise

“The VIX is up 4.3 points this month to 17.3. Our models suggest that a VIX of 21.5 is consistent with the current economic environment”.

Source: GS derivs

 

The VIX playbook

1. The VIX’s long run average daily closing level back to its launch in 1990 is 19.5.

2. The standard deviation around that mean is 7.9.

3. “When the VIX hits 20, 28, 36, and +44, it makes sense to add incremental equity exposure in stages. The lower VIX readings (20, 28) signal buying opportunities if risks rise but are not truly destabilizing”.

Source: Data Trek

 

Options prices across macro assets

“Similar to the past few weeks, we see credit options prices as having the most upside relative to 12-year average.”

Source: GS deriv s

 

“Under the hood” fear

We have seen a rather big spike in skew and implied correlations over the past 2 weeks. Both are up from “depressed” levels, but still far from panic levels.

Source: Refinitiv
Tilmeld dig vores gratis nyhedsbrev
ØU Dagens Nyheder Middag - Investering

Vær et skridt foran. Få de vigtigste analyser af danske aktier og aktiemarkedet
Udkommer hver dag kl. 12.

Jeg giver samtykke til, at I sender mig mails med de seneste historier fra Økonomisk Ugebrev. Lejlighedsvis må I gerne sende mig gode tilbud og information om events. Samtidig accepterer jeg ØU’s Privatlivspolitik.

Du kan til enhver tid afmelde dig med et enkelt klik.

[postviewcount]

Jobannoncer

No data was found

Mere fra ØU Formue

Log ind

Har du ikke allerede en bruger? Opret dig her.

Påskegave

Få to GRATIS analyser af Novo Nordisk & Zealand Pharma 

*Tilbuddet gælder ikke, hvis man har været abonnent indenfor de seneste 6 måneder

FÅ VORES STORE NYTÅRSUDGAVE AF FORMUE

Her er de 10 bedste aktier i 2022

Tilbuddet udløber om:
dage
timer
min.
sek.

Analyse af og prognoser for Fixed Income (statsrenter og realkreditrenter)

Direkte adgang til opdaterede analyser fra toneangivende finanshuse:

Goldman Sachs

Fidelity

Danske Bank

Morgan Stanley

ABN Amro

Jyske Bank

UBS

SEB

Natixis

Handelsbanken

Merril Lynch 

Direkte adgang til realkreditinstitutternes renteprognoser:

Nykredit

Realkredit Danmark

Nordea

Analyse og prognoser for kort rente, samt for centralbankernes politikker

Links:

RBC

Capital Economics

Yardeni – Central Bank Balance Sheet 

Investing.com: FED Watch Monitor Tool

Nordea

Scotiabank