Fear Is Everywhere in Volatility Market Even as the VIX Retreats

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Fear Is Everywhere in Volatility Market Even as the VIX Retreats

Bloomberg2021-03-25

Recent VIX fall conceals ‘tension beneath the calm’: Assenagon Skew, correlation and volatility futures show investor nerves The Cboe Volatility Index may have just wiped out the pandemic-induced ...

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TraderGw
·2021-03-26
Lol
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- Ahjennn:
  For the coin
  2021-03-26
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Nagoken
·2021-03-26
Hope not
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- SSVC:
  [强][握手]
  2021-03-26
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chinsainty
·2021-03-26
See on rebound. Great crash coming
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- Jojofi:
  [微笑]
  2021-03-26
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It shows how volatility markets are still on edge one year after the S&P 500 hit rock bottom, according to speculators who bet on price swings.\n\n“It does notfeelthat the volatility risk premium vanished so quickly,” the Assenagon investors said.\nFor nearly a year after the pandemic crash, the VIX -- which measures implied volatility in S&P 500 options -- remained historicallyelevatedeven as stocks boomed to fresh records.\nBut despite the gauge finally closing under the psychological 20 level over the past week, a deluge of technical indicators show investors are still bidding up downside protection.\nTake the skew, which measures how much traders are willing to pay for hedging against steep market drops. The cost for one-year protection on the main U.S. stock benchmark “is at extreme levels over a rather long history,” according to Danon and Knecht.\nDitto two other Wall Street measures of fear: the implied correlation on both the S&P 500 and Nasdaq 100. That’s a sign traders overall reckon individual stocks will move together -- something that tends to happen during selloffs.\nThe VIX was trading at 21 at 10:10 a.m. in New York, as the S&P 500 Index dropped 0.1%.\n\nWith demand for hedges still high relative to how much stock prices have actually swung around this year, Pierre de Saab is seeing plenty of nerves out there.\n“VIX could come down to 15-18 and still remain expensive versus realized volatility,” said the Geneva-based volatility manager atDominice & Co.\nBetween lingering pandemic fears, a lack of short-sellers and rising Treasury yields the VIX term structure also remains unusually steep -- showing traders are anticipating more volatility in the future.\nBoth the three- and six-month futures contracts cost around 20% more than their historical average, according to Susquehanna International Group LLP.\nVIX futures are far more expensive than they typically are when the underlying gauge trades around 20, says Susquehanna\nThat’s not to say the VIX itself can’t fall further, especially given the strength of technical forces. Funds that adjust their strategies according to a one-year historical window will start to unwind hedges as last March’s mayhem fades from view.\nAnother source of upward pressure on implied gauges -- fervent call-buying among retail investors -- looks like it isfading.\n“I think it’s a matter of time without a true fear- and flows-inducing event that low vol will be back in place -- even if not as stable,” said Colton Loder, managing principal of Cohalo Advisory LLC, an alternative investment firm in Washington.\nYet for all that, the angst flashing in the derivatives landscape right now is historically unusual relative to current VIX levels.\n“Although near term volatility has decreased, the scars from Covid likely leave investors hesitant to bring down medium and longer term volatility,” Susquehanna’s Chris Murphy wrote in a note.","kind":"news","is_publish_news":true,"is_publish_highlight":true,"is_publish_live":false,"is_publish_wemedia":null,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"symbols":[],"gpt_button":1},"commentList":[{"id":358530736,"gmtCreate":1616714934725,"gmtModify":1704797705588,"author":{"id":"3572398673005116","authorId":"3572398673005116","name":"TraderGw","avatar":"https://static.tigerbbs.com/aca8db80dc59388010d0fbbafecdeb6e","vip":1,"crmLevel":3,"crmLevelSwitch":0,"authorIdStr":"3572398673005116","idStr":"3572398673005116"},"htmlText":"Lol","listText":"Lol","text":"Lol","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":1,"repostSize":0,"link":"https://ttm.financial/post/358530736","repostId":1132109767,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":3886191,"gmtCreate":1616718968825,"gmtModify":1680781763283,"authorId":3577578440393201,"author":{"id":3577578440393201,"idStr":"3577578440393201","authorId":3577578440393201,"name":"Ahjennn","avatar":"https://static.tigerbbs.com/6f889035f499e201d659d4e8e4b6671a","vip":1,"crmLevel":5,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":358530736,"type":1,"supId":0,"prevId":0,"content":"For the coin","text":"For the coin","html":"For the coin"}],"langContent":"EN"},{"id":358530349,"gmtCreate":1616714889981,"gmtModify":1704797704120,"author":{"id":"3576560237263785","authorId":"3576560237263785","name":"Nagoken","avatar":"https://static.tigerbbs.com/caac3ac5db4b0d37985b9f55a62d569f","vip":1,"crmLevel":5,"crmLevelSwitch":0,"authorIdStr":"3576560237263785","idStr":"3576560237263785"},"htmlText":"Hope not","listText":"Hope not","text":"Hope not","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":1,"repostSize":0,"link":"https://ttm.financial/post/358530349","repostId":1132109767,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":3889364,"gmtCreate":1616746749423,"gmtModify":1680781815721,"authorId":3574906731000207,"author":{"id":3574906731000207,"idStr":"3574906731000207","authorId":3574906731000207,"name":"SSVC","avatar":"https://static.tigerbbs.com/545a5ea462ff4ac7cc100bd3d8d97f72","vip":1,"crmLevel":3,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":358530349,"type":1,"supId":0,"prevId":0,"content":"[强][握手]","text":"[强][握手]","html":"[强][握手]"}],"langContent":"EN"},{"id":358220062,"gmtCreate":1616703038856,"gmtModify":1704797624760,"author":{"id":"3573535704251258","authorId":"3573535704251258","name":"chinsainty","avatar":"https://static.tigerbbs.com/1136b5a7ff709837954a83705f4907df","vip":1,"hat":"https://static.tigerbbs.com/b073a07f77dbe6b3bec6b12311fde6bd","crmLevel":5,"crmLevelSwitch":1,"authorIdStr":"3573535704251258","idStr":"3573535704251258"},"htmlText":"See on rebound. Great crash coming&nbsp;","listText":"See on rebound. Great crash coming&nbsp;","text":"See on rebound. Great crash coming","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":1,"repostSize":0,"link":"https://ttm.financial/post/358220062","repostId":1132109767,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":3885503,"gmtCreate":1616715552299,"gmtModify":1680781756901,"authorId":3574911895867822,"author":{"id":3574911895867822,"idStr":"3574911895867822","authorId":3574911895867822,"name":"Jojofi","avatar":"https://static.tigerbbs.com/b38ecb7f10f831fb2c5dfa4b6984a1cb","vip":1,"currentWearingBadge":{"badgeId":"44212b71d0be4ec88898348dbe882e03-1","templateUuid":"44212b71d0be4ec88898348dbe882e03","name":"Boss Tiger","description":"The transaction amount of the securities account reaches $100,000","bigImgUrl":"https://static.tigerbbs.com/c8dfc27c1ee0e25db1c93e9d0b641101","smallImgUrl":"https://static.tigerbbs.com/f43908c142f8a33c78f5bdf0e2897488","grayImgUrl":"https://static.tigerbbs.com/82165ff19cb8a786e8919f92acee5213","redirectLinkEnabled":0,"hasAllocated":1,"isWearing":1,"stampPosition":0,"hasStamp":0,"allocationCount":1,"allocatedDate":"2023.07.14","exceedPercentage":"60.70%","individualDisplayEnabled":0,"individualDisplaySort":0,"categoryType":1101},"crmLevel":5,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":358220062,"type":1,"supId":0,"prevId":0,"content":"[微笑]","text":"[微笑]","html":"[微笑]"}],"langContent":"EN"}],"hasMoreComments":true,"newsSizeData":{"likeSize":7,"commentSize":3,"repostSize":0,"favoriteSize":0,"likeStatus":false,"favoriteStatus":false}}