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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
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