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From the Market Ear:
That Upside Force
Nobody owned enough upside, and the market is still paying the price for it. Calls have been chased aggressively, skew has collapsed, and upside realized volatility has gone completely abnormal.
Today finally saw the first real pressure emerge in the hottest convexity trades, with semis and Korea reversing lower after an almost vertical squeeze.
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About the author
Leith van Onselen is Chief Economist at the MB Fund and MB Super. He is also a co-founder of MacroBusiness.
Leith has previously worked at the Australian Treasury, Victorian Treasury and Goldman Sachs.