Risk off sell everything, payrolls preview, equity volatility is the only escape valve and fasten your seat belt This week’s report Be Greedy When Others are Fearful Figure 1: SPX risk is the S&P 500 Volatility, the Volatility of Volatility, correlation and skew indices as well as the term structure of VIX futures (6 month less 1 month) in a z-score format. Wednesday it expanded to 2.43 standard deviations, it remained above 2 on Thursday and Friday. We consider these readings high relative to underlying economic conditions. The election and latest surge in Covid-19 cases appear reasonably discounted.
Podcast: Be Greedy When Others are Fearful
Podcast: Be Greedy When Others are Fearful
Podcast: Be Greedy When Others are Fearful
Risk off sell everything, payrolls preview, equity volatility is the only escape valve and fasten your seat belt This week’s report Be Greedy When Others are Fearful Figure 1: SPX risk is the S&P 500 Volatility, the Volatility of Volatility, correlation and skew indices as well as the term structure of VIX futures (6 month less 1 month) in a z-score format. Wednesday it expanded to 2.43 standard deviations, it remained above 2 on Thursday and Friday. We consider these readings high relative to underlying economic conditions. The election and latest surge in Covid-19 cases appear reasonably discounted.