Aug 27, 2020 | US Economy
US equities are beginning to behave more normally. The average pairwise correlation across S&P 500 stocks has plunged (top-left chart), which tells us that stocks are starting to move independently from one another and are no longer driven to the same extent by...
Jul 23, 2020 | US Economy
Fixed-income volatility, after a brief burst higher in March, has settled back down again. Currency and equity volatility also surged higher earlier this year, but have not fallen back so far, with the VIX remaining at the 90th percentile over the last five years....
Jan 29, 2020 | Global Economy
Implied volatility across asset classes has receded in recent months as the barrage of global systemic risks (US-China trade war, disorderly Brexit and the manufacturing slowdown) has dissipated. Even though FX vol, along with other asset volatilities, remained...
Apr 12, 2019 | US Equities
Short volatility positions are back at extreme levels once again, showing the growth of complacency among market participants. The more dovish than expected Fed has allowed volatility sellers to become more emboldened, and speculative VIX future positions are back up...
Oct 14, 2017 | US Economy
Falling liquidity was one of the principal reasons behind our call for a flatter US yield curve this year. Excess liquidity often drops towards the end of an expansion. At the same time the relative demand for credit falls, while the central bank is reacting to...
Nov 12, 2016 | US Economy
(from our Tactical report of 1st November 2016) Equity volatility and credit spreads are almost perfectly correlated. In part this is because equity is a perpetual option on the solvency of a firm. When credit becomes stressed, equity volatility jumps as well. You can...
Oct 14, 2015 | Leading Indicators, US Economy
All of our leading indicators for credit spreads and volatility point to wider volatility and higher credit spreads over the next two years. The credit cycle is long in the tooth, and the best predictor of future credit spreads is the lagged growth in lending. For a...
Jun 24, 2013 | Featured, Tactical
We have been warning clients in the past few months that volatility was set to rise towards the middle of the year. We have been flagging the almost parabolic increase in margin debt as well as our leading indicator for equity volatility. This excerpt is from our...
