“Look Dave, I can see you’re really upset about this. I honestly think you ought to sit down calmly, take a stress pill and think things over.”
From Stanley Kubrick’s 2001: A Space Odyssey.
Authored by Christopher Cole via Artemis Capital Management,
A full version of the article is available on the Artemis website.
Volatility and the Alchemy of Risk
Last weekend, as Deutsche Bank's derivatives strategist Aleksandar Kocic was looking at the spread between the short and long end of the curve, and while contemplating the lack of market volatility, he concluded that "given where long rates are, Fed appears as overly hawkish – it has only two more hikes to go and, for volatility and risk premia to reprice higher, the gap has to widen. As is appears unlikely that the Fed will be cutting rates any time soon, the gap could widen only if the Long rates sell off."
'Speculators' have never been so confidently complacent that 'all is well'.
Speculative positioning in VIX futures and options remains at its most short in history as traders refuse to back away from 'what works' as realized volatility collapses to its lowest in over 60 years...
And as Dana Lyons notes, assets in mutual funds designed to rise when stocks fall have dropped to an all-time low.
While former Turing Pharmaceuticals CEO Martin Shkreli languishes inside a federal jail in Brooklyn, the trial of his former attorney - and alleged co-conspirator - Evan Greebel is just beginning, with the defense and prosecution giving opening statements Friday.