Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

Chicago Board Options Exchange Volatility Index / Event-Driven

Chicago Board Options Exchange Volatility Index

<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?

Head of Research and Global Chief Strategist, Steno Research

Andreas Steno

Head of Research and Global Chief Strategist

Macro and Geopolitical Research House

Steno Research

Steno Research is a new macro and geopolitical research house. We are based out of Copenhagen, Denmark, but have an international team and a strong network of sources and partners around the world. The team is lead by Andreas Steno, previous global head of strategy at Nordea Bank, and Mikkel Rosenvold, former chief consultant in the Danish Ministry of Finance.

<ul><li>Hello everyone, and welcome back to our weekly positioning watch.</li><li>The debates about whether the US is heading for a recession are still touring the charts, as the labor market and other economic data soften back towards pre-pandemic levels.</li><li>However, while some might be uncomfortable watching the US economy slow more than anticipated, the lack of ringing alarm bells and Powell’s recent victory lap on inflation have greenlighted markets to price in a soft landing as a 95-99% probability event by now when looking across positioning data.</li></ul>

Hello everyone, and welcome back to our weekly positioning watch.The debates about whether the US is heading for a recession are still touring the charts, as the labor market and other economic data soften back towards pre-pandemic levels.However, while some might be uncomfortable watching the US economy slow more than anticipated, the lack of ringing alarm bells and Powell’s recent victory lap on inflation have greenlighted markets to price in a soft landing as a 95-99% probability event by now when looking across positioning data.

Positioning Watch – The Soft Landing Is Moving Towards a Recovery Trade

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)

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

Positioning Watch – The Soft Landing Is Moving Towards a Recovery Trade

Overall positioning and sentiment indicators are starting to diverge, though. Most indicators show continued support for risk assets in H2.

Steno Research

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

Positioning Watch – The Soft Landing Is Moving Towards a Recovery Trade

Overall positioning and sentiment indicators are starting to diverge, though. Most indicators show continued support for risk assets in H2.

Steno Research

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...