Vol Street Journal™ :: Episode 37
PROGRAMMING NOTE: There will be no Vol Street Journal episode for the next two weeks. I’ll be back in early September after my summer break.
This week I evaluate whether the volatility crush has become over-extended. I also review improving market models, a noteworthy divergence in volatility composition, the Treasury market’s response to the latest inflation data, and follow-up on positioning in equity futures.
Topics covered this week:
-HRV and Early Warning System model updates
-Historic contango and spread expansion across VIX timeframes and futures
-Divergences between VIX and 1-month implied correlations
-Treasury curve steepening and credit market volatility compression
-COT positioning dynamics and relative value index pair trades
Here we go!
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