Data Diary

As a sucker for a crusty cliche, I was a natural to work in finance. It’s as much the refuge of  ’euphemism, question-begging and sheer cloudy vagueness‘ as any political stamping ground. So you’ll understand my intent when I say “it’s different this time”. No really, it is. Consider the following chart of the VIX and [...]

Interesting article at Zero Hedge over the weekend (here and follow-up via Alphaville here) – where Tyler speculates as to whether the Fed has been aggressively selling volatility on Treasuries. The recent plunge in volatility, as measured by the MOVE index, looks remarkably similar to a fall that occurred at the end of QE1. Logic [...]

Even as US yields have been climbing out of their slumber, credit spreads have continued their march inwards: In this version of reality, QE is the panacea that will take us back to early noughties. The troubles in the Middle East and Europe are just background noise. Higher commodity prices won’t derail the recovery. China remains [...]

Friday was not your common garden variety selloff. The 24% spike in the VIX, admittedly from recent lows, was not matched by the S&P – where we could have reasonably expected a fall of something closer to 5% (perhaps the day’s $8bn POMO was working its magic?) Moves of that magnitude in the VIX are [...]

I’ve got a friend – a gourmet sensualist who likes to play roulette. It’s an occasional pastime but like Sherlock Holmes, he’ll disappear into the aromatic fug when gripped by the wheel. It’s great to watch – he likes to play two tables at once which requires a deal of cajoling and joking with his [...]

Updating various charts and thought this was interesting. Comparing the recent price action of the VIX to that of the S&P500 suggests that option traders have not anticipated the recent price weakness in the equity index. The markets complacency can also be gauged by the CBOE Put/Call ratio that looks suspiciously like it has recently [...]

We had a look at a VIX derived forecast for the S&P500 a couple of weeks ago (here). With the snapping in volatility over the last couple of days, we finally get a decisive break in the chart: Volatility has now officially joined the QE trade – as near term vol has been sold aggressively [...]

Credit spreads continue to shrink, yet the VIX refuses to follow. Perhaps, the Fed’s current POMOs are just enough to encourage fixed interest investors to push down the risk curve. With low volumes in equities, the indexes can follow. But this just makes for an even more nervous market. In the absence of a categoric [...]

McClellan Financial Publications had an interesting analysis last week (here) that looked at “Tracking the VIX response to Price Moves” in the S&P500. A key conclusion of the analysis was that divergences between the two indexes can signal turning points in the S&P500. The concept seemed a good one – worthy of further investigation. However, rather [...]

Hardly a vote of confidence in the recovery this return to quantitative easing – even if it is balance sheet neutral. Apparently, liquidity remains fragile. Consider where the CBOE put-call ratio was at the start of quantitative easing proper – when global liquidity was truly in a catatonic state: While the ebullience that marked the [...]