When you look at volatility of major equity indices, they all look like charts of companies that have profit warned. We have been outlining our “longer term” logic on vol here and here over past days so we won´t go into a more detailed discussion in this post, but we would like to point out both VIX and the V2X are making new recent lows today.
The VIX continues falling and is close to the 15 level.
V2X is trading at even lower levels than the VIX. Note that the V2X currently trades at levels we have not closed at since late September, i.e. before the October sell off. As we wrote yesterday, we are only waiting for the “quant strategists” to tell us that low volatility is here to stay in order to trigger our contrarian gene.
Credit has also been in full implosion mode. Note that European credit (white) is practically unchanged since early October, while the US credit space still trades above the early October levels.
The melt up has been accompanied with falling volumes (deduct the month end volume day).
Beside us waiting for the quant contrarian call, we expect the CTA “trendy” guys to have started chasing this again (CTA index is slightly delayed). The question is are they late to the trend party, again?
Source; charts by Bloomberg
