VIX Term Structure Inversion This great chart suggests that the VIX term structure inverting is often associated with an imminent low and an average gain of 8.9% over 6 months (since 2016). Picture source: Fundstrat Global Advisors, LLC
VIX and MOVE Correlation Periods of high correlation between VIX and MOVE are not good for balanced portfolios, because diversification is hard to find. Picture source: Arbor Research & Trading LLC
The Yield Curve Leads VIX (Volatility) by Three Years Is more volatility expected ahead? This chart suggests that the CBOE Volatility Index or VIX usually follows the U.S. 10-year vs. 2-year Treasury spread (inverted) with a 3-year lag. Picture source: Morgan Stanley Research
Fed Funds Target Rate and VIX Is more volatility expected ahead? This great chart suggests that the Fed funds target rate leads VIX by 2 years. You may also like “VIX is in a Transitory State” and “The Yield Curve Leads Volatility by Three Years.” Picture source: Bloomberg, Jeffrey Kleintop
The Yield Curve Leads VIX (Volatility) by Three Years Is more volatility expected ahead? This chart suggests that the CBOE Volatility Index or VIX usually follows the U.S. 10-year vs. 3-month Treasury spread (inverted) with a 3-year lag. You may also like “VIX is in a Transitory State” and “Fed Funds Target Rate and VIX.”…
MOVE, VIX and Rising Economic Uncertainty Markets are oddly calm despite rising economic uncertainty. Picture source: Financial Times
VIX & Yield Curve Cycle Since 2007 This chart also shows that we are in a late business cycle. The spread between the 30-year and the 3-month treasury yields is one of the most interesting spreads to watch. In recent history, a recession occurs about 12 to 18 months after the yield curve inverts. Picture…
VIX is in a Transitory State Since 2000, VIX has been between 15 and 19, only 18% of time. Picture source: Citi Trading, Citi Research, Bloomberg
S&P 500 1-Month Volatility History Since 1928 and VIX Since 1990 The stock market crash of 1929, the Black Monday of 1987 and the global financial crisis in 2008 were the most extreme events. Picture source: Goldman Sachs Global Investment Research
“Hedge Funds Are Shorting the VIX at a Rate Never Seen Before” -Bloomberg This certainly won’t not end well. Why do we never learn some lessons and repeat the same mistakes? Picture source: Hedgeye Risk Management LLC
