Posts Tagged ‘ implied volatility ’

Odd Market Swings Intra-day; Volatility Crush Over Multi-day

April 19, 2017
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Odd Market Swings Intra-day; Volatility Crush Over Multi-day

Earlier this month, April 5th was an odd day for financial markets. During market hours, it was interesting to behold one of the strongest single hours of the year, at the open, when the market rallied 20 handles on no real news of consequence. Sales could be seemingly filled at any price. One felt an aura of panicky,¬†indiscriminate buying. Wednesday’s tape had a gushing first hour. After stabilizing through the day, at higher levels, the market came undone starting around¬†2:30. As un-stoppable the rally, the sell-off was of an equal magnitude violent to the downside. The excuses, after the fact, we’re squishy: that the Fed minutes cited participants noting the market was expensive, and/or Paul Ryan mentioning that a tax plan was at least several months away. Both statements...

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Volatility Suppression Challenged

September 12, 2016
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Volatility Suppression Challenged

Since the BREXIT rebound/rip, it’s been an exceptionally stable summer. Few predicted that the unexpected BREXIT vote, would be an unequivocal positive to markets. The tell, quite clear after the fact, was the global rate plunge, and the US 10-year yield sinking to the 1.35% range, around the 4th of July. The perfect combination arose to send markets to all-time highs during the summer, a scary event (BREXIT) that lowered global rates, took the Fed off the table, and led to stimulus as far as the eye could see in Europe/elsewhere, all while not really impacting the US economy. As long as “lower-for-longer ” (interest rates), a BREXIT residual, remained in-play, volatility suppression reigned, and equities could grind higher. While the dynamic persisted all summer, it came undone the...

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