Welcome to Episode 45 of Vol Street Journal
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This week’s episode introduces some new tools I’ve been building along with a review of all the regulars. We’ve got a very flat VIX futures curve as the NASDAQ leads equities lower, but I still think there are better ways to play a selloff than by getting long vol.
Topics covered:
-HRV and EWS models: both back in the yellow zone, holding in there but cautionary
-VIX, VVIX and the S&P: SPX makes a lower low while VIX and VVIX don’t confirm
-VIX futures and the VRP: an unnerving shape of the VX curve but a near 10-point VRP puts the onus on realized vol to snap higher
-Volatility composition: a new weekly breakdown of what’s driving VIX
-Implied vs. realized correlation: a new correlation risk premium measure, and an index that stays cool as a cucumber
-Treasuries and market mechanics: MOVE climbing as rates fall, and a release valve in NASDAQ vol
Here we go!
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