BofA Stunned By Record VIX Roundtrip; Fears “Fragile Market”

Jon Alternative Media, Blogosphere, Economy, Fiscal Policies, Market Commentary, Technical Analysis

In recent months, BofA notes that the speed of mean reversion in the VIX has been particularly striking by historical standards. Since the end of QE3, VIX spikes have had very little persistence, generating low cumulative volatility relative to the previous 25 years, underscoring BofA’s thesis of a fragile market that features rapid jumps from states of calm to states of stress and back.
As BofA details, markets are hyper-sensitive today to central bank action / rhetoric, with the beta of global equity, commodity, fixed income, FX, and corporate credit markets to 10yr US Treasuries near 26 year highs.
Hence it is perhaps not surprising that as 10yr Treasury yields fell swiftly following last week’s FOMC decision to not raise rates, the S&P 500 rallied back to 2180 (~35bps away from its pre-selloff high) and the VIX dropped under 12 (to within 0.1 vol points of its pre-spike low).

This post was published at Zero Hedge on Sep 29, 2016.