The Market Ear with a nice summation of the crash in risk and crash-up in equities. Bear market blow-off time.
| VIX – welcome to inverse panic |
| We are finally reaching the volatility puke we have been writing about for the past two weeks. VIX has not closed here in a long time. Reversal strategists are pointing out the VIX vs SPX gap, but these people do not trade volatility, nor do they understand what volatility is. Volatility is mean reverting by “nature”, so don’t buy into the “last time VIX was here…” arguments. Time to get busy when it comes to using cheap(er) volatility in your overall strategy. |
 Refinitiv | |
| VVIX knew…but does it know? |
| VVIX stopped crashing a little while ago. VIX on the other hand has been busy closing the gap vs VVIX. Note the divergence between these two over the past week. VVIX ain’t buying the latest VIX move lower… |
 Refinitiv | |
|
|
| Tech protection puke |
| NASDAQ basically unchanged since a few days ago, while the VXN has moved sharply lower. You buy protection when you can….not when you must. |
 Refinitiv | |
| Sucking risk premium out of the market |
| The puke in protection is happening beyond equities. FX volatility index is falling to new recent lows (but remains elevated) and the VXTLT is trading at the lowest levels since February this year. |
 Refinitiv | |
| Not all “VIXes” are crashing |
| Europe remains the relative sucker. Nothing really new, but note just how much faster the recent VIX implosion has been relative to the European version, V2X. |
 Refinitiv | |
| Europe’s winter uncertainty |
| We are seeing some normality come back in how people are pricing the VIX vs the V2X, but then you overlay the German electricity chart and realize there is more potential for repricing the risk of soggy Europe. |
 Refinitiv | |
| It’s all about liquidity |
| Fed’s BS has barely moved. What is more important is the “effective balance sheet” writes John Authers, referring to CrossBorder’s chart. Note how this one has moved in tandem with the SPX since “rolling over”. Not many are talking about the QT these days… |
 Refinitiv |
 Cross Border/Authers. | |
| Time for the overshooting “phase” post the inflation print? |
| Are we back to good news is good news? Let’s see how this develops from here, but SPX is approaching the first resistance at 4200. A close above that level and we could be seeing the “overshooting” phase with the next big resistance at 4250. 200 day is still up at 4325… |
 Refinitiv | |
| NASDAQ at huge levels (again) |
| NASDAQ is back to recent highs around 13400 post the inflation print. Note this is a huge level as the big trend line comes in around the 13400 area. Overshooting and the long awaited volatility puke in the making? |
 Refinitiv | |
| NASDAQ approaching the gamma flip level |
| QQQ has moved from short gamma and is close to flipping into positive gamma post the inflation print. In English: short gamma dealers are forced to buy deltas as we have squeezed again, but the dynamics of chasing changes into dealers becoming sellers of deltas should we move even higher. Of course there are dealers doing nothing as well, hoping for things to mean revert before they hedge…. |
 Tier1Alpha | |
