Sources
Tier1 Alpha
Slight drop in fixed strike vol after the jobs report, but overall, skew remains elevated. All else being equal, we expect 1M skew to decline next week as complacency makes a comeback. However, if skew holds, we could be in for a rocky few weeks heading into the October OpEx. https://t.co/LFvG2LF286
Financelot VVIX/VIX bottomed yesterday which means they're about to crush volatility $VIX. They've intentionally made it so markets will by rallying hard over the next 30 days into the election. VVIX/VIX should head back up to the purple 2018 trendline. https://t.co/gwkRb7bDoz https://t.co/BhnvUWdF0b
Menthor Q Bloomberg: The VIX is likely on the threshold of one its thematic 1-2 year net rises. A long period of flattening and inverted yield curves has fostered a surfeit of speculative, vol-shorting behavior. The imbalances this engenders eventually unwind, culminating in an extended… https://t.co/AAtF0eG6pM
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