• Tag Archives VIX
  • Global Markets Shaken By Sudden Equity Sell-Off: Hong Kong Crashes, VIX Surges

    Has the market’s “melt-up” levitation finally ended? Of course, it could be much worse: as Bloomberg’s Paul Jarvis recalls, thirty years ago on this day traders around the globe were staring at their screens in disbelief as stock markets turned to a sea of red: the Dow, S&P 500, FTSE, DAX and CAC fell -23%, -20%, -10%, -9% and -10% respectively.
    Fast forward to 2017 and the day known as Black Monday appears as little more than a blip in U. S. and European stock markets’ relentless progress. Having closed above the 23,000 mark for the first time on Wednesday, the Dow Jones Industrial Average has led markets back from the abyss, rising more than 13-fold since falling 23% in a single trading session on Oct. 19, 1987. Then again, “all” it took was central banks collectively buying a little over 30% of global GDP in debt over the past 3 decades, and especially in the past 8 years, to create the world’s most artificial “bull market” and “recovery” in history, and one day there will be hell to pay, but not just yet. Instead, on “Not Green Thursday”, traders wake up today to a modern day version of mini Black Monday, in which a sudden “risk-off” equity selloff has swept across global markets during early European trading, before gradually running out of steam, following a day in which the Dow Jones closed at one of its most overbought levels in the past 100 years.

    This post was published at Zero Hedge on Oct 19, 2017.

  • U.S. Mint Gold Coin Sales and VIX Point To Increased Market Volatility and Higher Gold

    – US Mint gold coin sales and VIX at weakest in a decade
    – Very low gold coin sales and VIX signal volatility coming
    – Gold rises 1.7% this week after China’s Golden Week; pattern of higher prices after Golden Week
    – U. S. Mint sales do not provide the full picture of robust global gold demand
    – Perth Mint gold sales double in September reflecting increased gold demand in both Asia and Europe
    – Middle East demand likely high given geopolitical risks
    – Iran seeing increased gold demand and Iran’s gold coin price up by 5%
    – Trump’s war mongering could see demand accelerate
    – Germany seeing very robust demand and now world’s largest gold buyer

    Editor: Mark O’Byrne
    US Mint coin sales fell to a decade low last month. This follows poor sales since the beginning of 2017. In the third quarter sales reached nearly 3.7 million ounces. September gold coin sales were down a whopping 88% compared to the same period last year.
    Year to date sales at 232,000 ounces are 66.5% lower than the 692,500 ounces delivered during the first nine months of 2016, according to the U. S. Mint.
    American Eagle gold coin sales did see a slight uptick in demand from very low levels and increased by 11,500 ounces in September which was up by 21.1% in August.

    This post was published at Gold Core on October 13, 2017.

  • “Fade” The Little Guy For Profit!

    As many of you know, I worked in the brokerage industry as a stockbroker/branch manager for 23 years. During that time and the 10+ years since, I have seen the ‘herd’ move(d) violently in tandem many times. For years, smart investors would discern what retail investors were doing as a group and do the opposite quite profitably. It has been said and I have to agree, ‘the little guy is almost always wrong, and wrong at the wrong time’. Fade the little guy, it is usually quite profitable!
    We are again seeing this phenomenon as evidenced by the VIX trading at all time lows and huge capital betting on continued non volatility. This thought process has obviously been aided and abetted by central bank’s massive liquidity flows and ‘official’ purchases of anything and everything to support a markets. Just to point out, it is not so much the fault today of market participants as it is central banks for ‘fooling’ them into their complacency.

    This post was published at JSMineSet on October 12th, 2017.

  • Global Stocks Hit New Record High, Dollar Mixed After Dovish Fed

    In a trend observed every day this week, S&P futures are slightly in the red ahead of a post-open ramp with the VIX rising to 9.91, as Asian shares climb, European stocks are little changed. WTI crude pares recent gains, slipping below $51 after API showed an unexpected crude build. Earnings season launches with bank earnings reports from JPMorgan and Citigroup, while Economic data include PPI figures, jobless claims.
    As Reuters notes, broader investor risk sentiment has improved this week after Catalonia dialed back plans to break away from Spain, with MSCI’s 47-country world stocks index reaching a record high. Global equities now appear to be taking geopolitical developments such as the secessionist push in Spain and tensions on the Korean peninsula in their stride, to reach those record tops.
    Analysts will be keeping a close eye on banks Q3 reports: Trading probably dropped from the same period a year earlier. Executives from JPMorgan, Citigroup and Bank of America Corp. told investors last month to expect declines ranging from 15 percent to 20 percent. Goldman Sachs Group Inc., coming off its worst first half for the trading business in more than a decade, said the third quarter remained challenging. Subdued volatility, especially compared with the turmoil from Brexit and the U. S. election a year earlier — made the period particularly tough.

    This post was published at Zero Hedge on Oct 12, 2017.

  • October Realized Volatility Is Now The Lowest On Record

    After September was declared the lowest volatility month on record, October is starting auspiciously, if only for the vol sellers.
    After last week stocks rose again on renewed hopes of a Trump tax deal and following a payrolls report which showed the hottest wage inflation since the financial crisis, the S&P 500 closed the week 1.19% higher, while the Russell 2000 added 1.30%, the NASDAQ 100 increased 1.43%, and the Dow gained 1.65%.
    And while implied vol limped up slightly week-over-week as the VIX increased 0.14 points to 9.65 last Friday, this was the eighth consecutive close below 10. However, on Thursday the VIX closed at 9.19, the lowest close of all time. The trend appears set to continue, because as Bank of America’s derivatives expert Benjamin Bowler writes while October tends to have the highs volatility of all months of the year, this time is different and currently the annualized month-to-date realized vol for the S&P is 5.22%, the lowest October we’ve seen on record spanning back to 1928. For comparison, the median SPX realized vol in October is 17.22%, while the 1st percentile is 6.15%. Interestingly, the other four lowest vol Octobers were all in the 1960s (’61, ’64, ’65, and ’68), the period prior to “The Great Inflation” and rapidly rising rates of the 1970s.

    This post was published at Zero Hedge on Oct 10, 2017.

  • Minsky, Myopia, & Why The S&P 500 Is A Bloated Corpse

    Authored by Raul Ilargi Meijer via The Automatic Earth blog,
    According to Hyman Minsky, economic stability is not only inevitably followed by instability, it inevitably creates it. Complacent humans being what they are. If he’s right, and would anyone dare doubt it, we’re in for that mushroom cloud on the financial horizon. We know that because market volatility, as measured for instance by the VIX, the Chicago Board Options Exchange (CBOE)’s volatility index, is scraping the depths of the Mariana trench.
    Two separate articles at Zero Hedge this weekend, one by NorthmanTrader.com and one by LPLResearch.com, address the issue: it is time to be afraid and wake up. And that is not just true for investors or traders, it’s true for ‘everyone out there’ perhaps even more. Central bank policies, QE and ultra low rates, have distorted the financial system to such an extent -ostensibly in an attempt to save it- that the depressed, compressed volatility these policies have created can only come back to life with a vengeance.
    Feel free to picture zombies and/or loss of heartbeat as much as you want; it’s all true. Financial markets haven’t been functioning for years, and there have been no investors either, only gamblers and profiteers, as savers and pensioners have been drawn and quartered. Central bankers have eradicated price discovery, nobody knows what anything is really worth anymore, be it stocks, bonds, housing, gold, bitcoin, you name it.
    If you make interest rates ‘magically’ disappear anyone can spend any amount of money on anything they fancy buying. And it’s not just traders and investors either. Scores of people think: look, I can buy a house, others think they can buy a bigger house, many will get into stocks and/or bonds, because prices just keep going up. Even savers and pensioners are drawn into the central bank Ponzi, often in an effort to make up for what they lose when their accumulated wealth no longer pays them any returns. Shoeshine boys are dishing out market tips.

    This post was published at Zero Hedge on Oct 9, 2017.

  • Visualizing The Real Test For Market Bulls (In 1 Simple Chart)

    As StockBoardAsset shows on the 24-year monthly ratio chart below, bulls have pushed the S&P:VIX price into uncharted territory this year.

    The REAL test for sustained market euphoria is now occurring, as the ratio probes a two decade ascending diagonal (red) line responsible for past market tops.
    After 8-9 years of a central bank induced bull market, and pushing +2803% gains from lows, investors are making the fatal decision to get back in, as the final stages are here explained in the ratio.

    This post was published at Zero Hedge on Oct 7, 2017.

  • Bill Blain: “Aside From The Jobs Report, What Else Is There To Say This Morning?”

    ‘You’re a cop. I had your job once. I was good at.’
    Continued Upside! What does it mean? Short term complacency danger, but long term maybe soft bull?
    It’s Payrolls Day! Clue: monthly payrolls are not a particularly reliable indicator, although the data-set has acquired a quasi-religious sentiment status despite being a unreliable single look-back data point amongst the deluge of information we can plough every day. (In fact, pretty much discount today’s payrolls: if they are positive they change nothing, negative and they will be dismissed as ‘hurricane distorted’ – look to the next release in November as more meaningful!)
    Aside from the jobs report, I’m wondering what else there is to say this morning?
    VIX at yet another record low. S&P sustains a record number of record highs. Market fully prepared and ready for a December hike. Even Spain rose yesterday – boosted by the perception of a Catalan pull-back. My bearish stock picking chum Steve Previs had to reset his shorts because of the market’s resilience.. My chums in the financials sector have gone all bullish (again) convinced higher rates are good for banks, ‘synchronised global growth’ means lower NPLs, and now we’ve got potential Fed Chair candidates actively supporting rolling back regulation. What can possibly good wrong?

    This post was published at Zero Hedge on Oct 6, 2017.

  • Dollar Surge Continues Ahead Of Jobs Report; Europe Dips As Catalan Fears Return

    World stocks eased back from record highs and fell for the first time in eight days, as jitters about Catalonia’s independence push returned while bets on higher U. S. interest rates sent the dollar to its highest since mid August; S&P 500 futures were modestly in the red – as they have been every day this week before levitating to record highs – ahead of hurricane-distorted nonfarm payrolls data (full preview here). U. S. jobs report will also be released Friday with a speech on monetary policy by the New York Fed chief.
    On Thursday the S&P 500 reached its latest all-time high after better-than-forecast American factory orders and hawkish comments by SF Fed President John Williams reinforced optimism in the world’s largest economy, and pushed the dollar higher. Oil fell and the gold price edged higher. The VIX declined to a new record low going back to 1990.

    This post was published at Zero Hedge on Oct 6, 2017.

  • S&P Surges To Longest Record-High Streak In 20 Years As Dollar Spikes

    Despite a slump in consumer confidence, stocks just keep on chugging higher…
    Another Day, Another Record High – S&P up 8 days in a row (longest win streak in 4 years) and 6 record highs in a row (longest streak since 1997) and today was the best day in a month…
    VIX traded as low as 9.13 today…

    This post was published at Zero Hedge on Oct 5, 2017.

  • One Trader Warns Of “The True Danger Ahead”

    It’s easy for me to sit back and take pot shots at the hedge fund gurus calling for a repeat of the 2008 crash. Spouting words about markets never repeating the previous crisis is kind of cheap. If I am so sure history won’t repeat, why don’t I offer an alternative theory? Well, at the risk of embarrassing myself, here it goes.
    The biggest risk out there is not credit. It is not the monster short VIX speculative position. It is not CDX leverage.
    The true DANGER AHEAD lies in the universal belief that treasuries (and other sovereign fixed income) offer a perfect hedge versus risk assets.

    This post was published at Zero Hedge on Oct 3, 2017.

  • It Has Never Been Cheaper To Hedge A Market Crash Using This One Trade

    In mid-August, at the height of the North Korea geopolitical turbulence, and amid uncertainty about the Fed balance sheet unwind, fears of a government shutdown and the US debt ceiling, as well as the fate of Trump tax reform and Obamacare repeal, when the VIX soared following a series of missile launches by Kim Jong Un only to crash right back to near all time lows, we used an analysis from BofA’s derivatives analyst Benjamin Bowler to show “How To Hedge A Near-Term Market Shock: Here Are The Best Trades”
    As we said then “if the events from last week demonstrated something, it is that just when there appears to be virtually no risk, is when the likelihood of a historic surge in volatility is greatest, as many experienced first hand last Thursday. Hence the need to hedge. But what? And using which product?” As Bowler explained “the decision about whether it’s rational to hedge is really a matter of looking at the price of tail insurance embedded into option markets and asking if the probabilities they assign are ‘fair’ or not.” As he further wrote, when it comes to predicting what the next “severe tail event” could look like, “we find that not only are some markets like Gold pricing in a very low probability of Korean risk escalation, there are significant differences across assets in terms of what they imply about potential risks.”
    He then presented the chart below which shows how historical worst 3M drawdowns since 2006 are priced by 3M 25- delta options across asset classes; hedges that are most underpricing their historical drawdowns are at the top and those most overpricing their tails are at the bottom. What the chart shows is that gold call options imply less than a 1 in 100 chance of a severe tail event over the next month, despite being among the most reactive assets to rising Korean tensions last week. With record low Gold vol slaved to record low real rates vol, this represents a loose anchor which likely won’t hold in any significant geopolitical risk escalation. In contrast to gold, Nikkei is at the other end of the spectrum with options assigning over a 5% chance of a near term tail-event.

    This post was published at Zero Hedge on Oct 3, 2017.

  • SocGen: “Global Earnings Are Back To 2014 Levels; Stocks Are 15% Higher”

    Is it QE or is it earnings?
    With the Dow starting off the final quarter with a bang, surging to new all time highs alongside the S&P, few care what is prompting the latest surge in risk assets, which is a problem because as One River CIO Eric Peters noted yesterday, we have gotten to the point where measures of market performance have mutated into trading vehicles (and price targets) – such as the VIX, which drifted lower after an early spike today that appeared to briefly break the Nasdaq, and launch today’s buying spree. And with everyone selling vol, the implication is that there is nothing to be worried about, even if the actual indicator of implied vol is no longer relevant as it itself has become the most actively traded product by retail and institutional investors alike (hardly surprising to anyone who has read Soros’ 10+ year old ruminations on market reflexivity).
    Whatever the reason though, stocks continue to levitate and not just in the US, but across the world, with SocGen’s Andrew Lapthorne reporting that the MSCI World index surpassed 2000 for the first time and in turn has delivered its eleventh successive month of positive total returns. This ranks as the second longest period of consecutive gains for MSCI World since its formation in 1969, with realised volatility collapsing as a consequence.

    This post was published at Zero Hedge on Oct 2, 2017.

  • The Best And Worst Performing Assets In September, Q3 And 2017 YTD

    While September and Q3 were the latest solid month for US risk assets, which ended the month and quarter at all time highs, across the globe returns were relatively more mixed for the sample of assets tracked by Deutsche Bank. That said, a large number of assets (21 of 39 in local currency terms) finished with a total return between -1% and +1% which in part reflects another month of incredibly low volatility with the VIX in particular spending much of it trading between 9.5 and 11.0. In the end, excluding currencies 19 out of 39 assets finished the month with a positive total return in local currency and USD hedged terms.
    As Deutsche Bank’s Jim Reid reports this morning, in terms of the movers and shakers, commodities dominated the top of the German bank’s leaderboard with Wheat (+9%), WTI (+9%) and Brent (+8%) all finishing with a high single digit return. It’s worth noting however that this does follow heavy falls for the price of Wheat and WTI in August. Equities generally had a strong month, particularly in Europe where a slightly weaker euro (-1%) aided local currency returns. The DAX (+6%), FTSE MIB (+5%), Stoxx 600 (+4%), Portugal General (+4%) and IBEX (+1%) all finished firmer – the latter underperforming however reflecting elevated tension around the Catalan referendum. Returns in USD terms were 0% to +6%. It’s worth also noting the return for European Banks (+5% local, +4% USD) which got a boost from the slightly higher rate environment. There were two standout underperformers in equity markets however. The first was the Greek Athex which tumbled -8% in local terms although still remains up an impressive +19% YTD. The other was the FTSE 100 which fell -1% under the weight of a strong month for Sterling (+4%) following the BoE signalling an imminent rate hike as well as some progress around Brexit talks. Indeed in USD terms the FTSE 100 was up +3%.

    This post was published at Zero Hedge on Oct 2, 2017.

  • ‘Broken’ Market Sparks Buying Panic In Stocks…

    t appears the crucial link between HFT algos and the options market just broke as BATS options exchanges have declared self-help again NASDAQ ISE. VIX is spiking as stocks open, but stocks limping very modestly lower.

    This post was published at Zero Hedge on Oct 2, 2017.

  • “Dancing On The Rim Of A Volcano”: Speculators Have Never Been More Short Volatility

    With VIX ending Friday at its lowest weekly close ever, lowest monthly close ever, and lowest quarterly close ever – after the quietest September stock market in history – SocGen warned last Friday that the current situation is a “dangerous volatility regime” citing the strong mean-reverting tendency of uncertainty as a big reason for investors to brace themselves for trouble ahead.
    Of course, judging by the new record short in VIX futures – extending last week’s surge – the speculative public is as levered-long and complacent as it has ever been…
    What could go wrong? SocGen’s Arthur van Slooten explained late last week: “compare that with dancing on the rim of a volcano. If there is a sudden eruption (of volatility) you get badly burned”
    Indeed, if CNN’s Fear and Greed Index is anything to go by, investors are close to the ‘most extreme’ levels of greed in history…

    This post was published at Zero Hedge on Oct 1, 2017.

  • Bank of America: “The Best Reason To Be Bearish Is…There Is No Reason To Be Bearish”

    Back in mid-July, Bank of America chief investment strategist Michael Hartnett wrote “The Most Dangerous Moment For Markets Will Come In 3 Or 4 Months” in which he warned that “further upside in risk assets will create problems later in the year” and concluded that “ultimately, we believe the extremely strong performance by equities and bonds in H1 is very unlikely to be repeated in H2” because “monetary policy will have to tighten to raise volatility, reduce Wall St inflation, and reduce inequality. There are two ways to cure inequality: you can make the poor richer, or you can make the rich poorer. The Fed will reduce its balance sheet in the hope of making Wall St poorer.”
    Or maybe not, because almost three months later, the same Hartnett today writes that the “best reason to be bearish is…there is no reason to be bearish.” and admits that the “Icarus ‘long risk’ trade extended into autumn (Humpty-Dumpty “great fall” postponed a tad longer) by low inflation, big liquidity ($2.0tn central bank buying), high EPS, and promise of US tax reform”, noting that the “monster rally in credit and equity markets began 18 months ago when best reason to be bullish was there was no reason to be bullish.”
    And with the VIX approaching all time lows as the S&P hits another daily high, the BofA strategist reiterates that his “Icarus Rally” price targets for Q4 remains 2630 in the S&P, 6666 on the Nasdaq, and the 10-year Treasury hitting 2.85%, as the rising dollar pushed the EURUSD down to 1.15. So what will prompt Q4 peak in the market? According to the BofA strategist, the catalyst will be a “Q4 “top” driven by tax reform, i.e. “peak Policy, a rise in MOVE index, and a peak RMB.
    As Hartnett details further, here are the three catalysts that could end the current period of record complacency. Tax reform = “peak policy” = buy rumor, sell fact…but too early to sell fact; tax reform = quicker Fed balance sheet reduction and less share buybacks if capex accelerates (since 2009 lows S&P equity market cap up $15.3tn, Fed’s balance sheet up $4.5tn, share buybacks up $3.5tn) Big jump in the MOVE index of US Treasury market volatility (i.e. “bond shock”) catalyst for cross-asset vol, but requires inflation to rise

    This post was published at Zero Hedge on Sep 29, 2017.

  • VIX Options Volume Hits All-Time High As Stock Speculators Risk Record Amount On Continued Calm

    A record 2.61 million options on the VIX traded on Monday, surpassing a previous peak reached in August.
    Shockingly, Bloomberg reports that the activity appeared to be led by one investor, who rolled over a massive bet on a return in market turbulence to the end of the year.
    Shortly after Monday’s market open, an investor rolled over a position of more than 486,000 Oct. 25 calls to December.
    Monday’s trade was effectively an extension of a bet that volatility will more than double by the end of the year — the wager was initiated in July but that didn’t come to fruition since the VIX gained only 2.5 percent in the period.
    While the trade was big — it accounted for almost half of Monday’s call volume and 11 percent of the total calls outstanding — wagers that the VIX will rebound have multiplied in recent weeks as shorting volatility has lost some of its appeal.

    This post was published at Zero Hedge on Sep 26, 2017.

  • As VIX Nears Record Low, Investors Have Never Been More Worried About What Happens Next

    As last week ended, VIX was crushed back near record lows to ensure the S&P 500 closed above 2500 and to prove all is well in the world – despite quakes, storms, floods, nukes, and worst of all… Fed balance sheet unwind plans.
    And VIX speculators have never been more short (implicitly levered long stocks)…
    So why, given all this exuberance and complacency, is uncertainty around VIX’s future trajectory at relative record highs?

    This post was published at Zero Hedge on Sep 25, 2017.