Podcast series by Dean Curnutt, Alpha Exchange

Alpha Exchange

Podcast series by Dean Curnutt

The Alpha Exchange is a podcast series launched by Dean Curnutt to explore topics in financial markets, risk management and capital allocation in the alternatives industry. Our in depth discussions with highly established industry professionals seek to uncover the nuanced and complex interactions between economic, monetary, financial, regulatory and geopolitical sources of risk. We aim to learn from the perspective our guests can bring with respect to the history of financial and business cycles, promoting a better understanding among listeners as to how prior periods provide important context to present day dynamics. The “price of risk” is an important topic. Here we engage experts in their assessment of risk premium levels in the context of uncertainty. Is the level of compensation attractive? Because Central Banks have played so important a role in markets post crisis, our discussions sometimes aim to better understand the evolution of monetary policy and the degree to which the real and financial economy will be impacted. An especially important area of focus is on derivative products and how they interact with risk taking and carry dynamics. Our conversations seek to enlighten listeners, for example, as to the factors that promoted the February melt-down of the VIX complex. We do NOT ask our guests for their political opinions. We seek a better understanding of the market impact of regulatory change, election outcomes and events of geopolitical consequence. Our discussions cover markets from a macro perspective with an assessment of risk and opportunity across asset classes. Within equity markets, we may explore the relative attractiveness of sectors but will NOT discuss single stocks.

Technical Analysis

Chicago Board Options Exchange Volatility Index / Technical Analysis

Chicago Board Options Exchange Volatility Index

<ul><li>Seller understanding that product may not sell immediately, similar to rainy day insurance with put options</li><li>Tight correlation between supply, demand, and prices in liquid markets like put options</li><li>Market risk climate currently influenced by high implied volatility due to upcoming events like elections, similar to date certain macro events in the past like Brexit or company earnings dates</li></ul>This content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.

Seller understanding that product may not sell immediately, similar to rainy day insurance with put optionsTight correlation between supply, demand, and prices in liquid markets like put optionsMarket risk climate currently influenced by high implied volatility due to upcoming events like elections, similar to date certain macro events in the past like Brexit or company earnings datesThis content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

Chicago Board Options Exchange Volatility Index / Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/chicago-board-options-exchange-volatility-index" target="_blank" data-smartkarma-citation="entities:31501:1" rel="noopener">VIX INDEX</a> is currently OVERSOLD from a time perspective, but not yet from a price perspective: if it falls &lt;13, there is a high probability it will reverse up.</li>
<li>A spike in the VIX will correspond to a drawdown in equities, globally. The MRM model indicates a 1-2 weeks duration for the event, price targets between 16 and 18.</li>
<li>After the spike, the VIX could start to fall again, so this upcoming volatility spike should be a brief, short-lived event.</li>
</ul>


The VIX INDEX is currently OVERSOLD from a time perspective, but not yet from a price perspective: if it falls &lt;13, there is a high probability it will reverse up.
A spike in the VIX will correspond to a drawdown in equities, globally. The MRM model indicates a 1-2 weeks duration for the event, price targets between 16 and 18.
After the spike, the VIX could start to fall again, so this upcoming volatility spike should be a brief, short-lived event.


EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

<ul>
<li>The <a href="https://www.smartkarma.com/entities/chicago-board-options-exchange-volatility-index" target="_blank" data-smartkarma-citation="entities:31501:1" rel="noopener">VIX INDEX</a> has reached very OVERSOLD levels, it could bounce soon. Our models predict a short-lived bounce, probably 1-week.</li>
<li>An increased VIX could trigger panic selling also in Asia-Pacific markets, dragging down returns and increasing volatility.</li>
<li>The S&amp;P500 is also WEEKLY OVERBOUGHT, the combination of VIX OVERSOLD and SPX OVERBOUGHT for us is a clear indication: WEEKLY pullback incoming!</li>
</ul>


The VIX INDEX has reached very OVERSOLD levels, it could bounce soon. Our models predict a short-lived bounce, probably 1-week.
An increased VIX could trigger panic selling also in Asia-Pacific markets, dragging down returns and increasing volatility.
The S&amp;P500 is also WEEKLY OVERBOUGHT, the combination of VIX OVERSOLD and SPX OVERBOUGHT for us is a clear indication: WEEKLY pullback incoming!


EQD | A Quick US/Global Equities Correction IS Possible Soon (...a Really OVERSOLD VIX...)

Cross-Asset Liquidity Strategist, CrossBorder Capital

Michael J. Howell

Cross-Asset Liquidity Strategist

Implementing Research Using Alt Data & AI

CrossBorder Capital

CrossBorder Capital is a London-based independent investment advisory firm. Founded in 1996, it exploits a gap in the investment arena by focusing on Central bank liquidity. 

It specialises in the monitoring and analysis of global liquidity flows - an important determinant of asset prices, from currencies through to bonds, equities and real estate.

CrossBorder Capital implements its investment strategy and currently manages over US$ 350m.


Cross Asset Strategy

<ul>
<li>
 Global Liquidity cycle bottomed around October 2022 based on our calculations, immediately following the UK gilt crisis. That is no coincidence!</li>
<li>Central Banks are increasingly using their balance sheets to focus on financial stability. Expect more subtle forms of YCC in the future</li>
<li>QT (quantitative tightening) is effectively dead. Central Banks are becoming active collateral managers. Investors must closely watch the MOVE not the VIX</li>
</ul>



 Global Liquidity cycle bottomed around October 2022 based on our calculations, immediately following the UK gilt crisis. That is no coincidence!
Central Banks are increasingly using their balance sheets to focus on financial stability. Expect more subtle forms of YCC in the future
QT (quantitative tightening) is effectively dead. Central Banks are becoming active collateral managers. Investors must closely watch the MOVE not the VIX


A Sea Change in Global Liquidity: Why QT Is Dead?

<ul>
<li>Volatility is sequential and the turbulence and illiquidity in forex and bond markets will inevitably spread to equities? A CRASH could be coming!</li>
<li>VIX has already moved up, but this barely acknowledges volatility elsewhere. The VIX always sees greater volatility because it includes the effects of economic volatility as the business cycle breaks</li>
<li>Upcoming World recession seems set to force the VIX above 50 index points. Stay ‘risk-off’ and choose ‘carry’ at the front-end of yield curves</li>
</ul>


Volatility is sequential and the turbulence and illiquidity in forex and bond markets will inevitably spread to equities? A CRASH could be coming!
VIX has already moved up, but this barely acknowledges volatility elsewhere. The VIX always sees greater volatility because it includes the effects of economic volatility as the business cycle breaks
Upcoming World recession seems set to force the VIX above 50 index points. Stay ‘risk-off’ and choose ‘carry’ at the front-end of yield curves


A Coming Crash: The Law of Conservation of Financial Volatility?

United States

The VIX Index is a financial benchmark designed to be an up-to-the-minute market estimate of the expected volatility of the S&P 500® Index, and is calculated by using the midpoint of real-time S&P 500 Index (SPX) option bid/ask quotes.

Chicago Board Options Exchange Volatility Index (VIX INDEX)

Chicago Board Options Exchange Volatility Index (VIX INDEX)

Hedge When You Can, Not When You Have to

Sellers use put options as insurance against market risk in response to fluctuating demand, with a focus on observable and liquid insurance...

Alpha Exchange

EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

Sunday Reading: the VIX Index WEEKLY is becoming OVERSOLD, if it goes near 10 there is a high chance it will spike up, and equity volatility could...

Nico Rosti

EQD | A Quick US/Global Equities Correction IS Possible Soon (...a Really OVERSOLD VIX...)

The VIX index is very, very oversold and could spike soon. This could generate sell-offs in US and global equities. The spike should be short...

Nico Rosti

A Sea Change in Global Liquidity: Why QT Is Dead?

September 2022 UK gilts crisis has proved a major wake up call for Central Bankers. It marked a major turning point in the Global Liquidity cycle....

Michael J. Howell

A Coming Crash: The Law of Conservation of Financial Volatility?

Volatility is sequential. Forex and bond market volatility will morph into equities and possibly trigger a crash. The VIX deserves to be above 50....

Michael J. Howell

Hedge When You Can, Not When You Have to

Sellers use put options as insurance against market risk in response to fluctuating demand, with a focus on observable and liquid insurance...

Alpha Exchange

EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

Sunday Reading: the VIX Index WEEKLY is becoming OVERSOLD, if it goes near 10 there is a high chance it will spike up, and equity volatility could...

Nico Rosti

EQD | A Quick US/Global Equities Correction IS Possible Soon (...a Really OVERSOLD VIX...)

​The VIX index is very, very oversold and could spike soon. This could generate sell-offs in US and global equities. The spike should be short...

Nico Rosti

A Sea Change in Global Liquidity: Why QT Is Dead?

September 2022 UK gilts crisis has proved a major wake up call for Central Bankers. It marked a major turning point in the Global Liquidity cycle....

Michael J. Howell

A Coming Crash: The Law of Conservation of Financial Volatility?

Volatility is sequential. Forex and bond market volatility will morph into equities and possibly trigger a crash. The VIX deserves to be above 50....

Michael J. Howell

The VIX index is very, very oversold and could spike soon. This could generate sell-offs in US and global equities. The spike should be short...