Category: VIX

  • Warrington Asset Management – Looking back on July

    | | Powell, VIX, Warrington

    The S&P 500 continued to climb steadily up to the last trading day of the month even though market participants knew that day could bring volatility, as the U.S. Federal Reserve (the “Fed”) was scheduled to announce their latest monetary policy update on July 31st. Speculation about their intentions to lower interest rates for the first time in ten years had been a market focus for months.  Fed Funds futures pricing is often used to estimate the probability of pending Fed interest rate changes, and had signaled the most likely decrease to be between 25 and 50 basis points.  However, when Charmain Powell announced the 25 basis point cut he also implied it might be a “one and done” scenario rather than a prolonged rate cutting cycle favored by market participants, causing an immediate decline in stock prices. The selling in the S&P was strong, sending the Index to its largest intraday decline since early May.  In fact, prior to that drop, the S&P had not had a 1% daily gain or loss in the previous 36 consecutive trading days, the longest streak since early October 2018 … Read more Warrington Asset Management – Looking back on July
  • VIX and What to Expect – The Odds Against the Big Jump

    | | crisis alpha, VIX, Volatility

    The VIX index, the most widely watched measure of market volatility, is at extended lows with a jump lower after the French presidential first round election results. The uncertainty and risk premium from this election has been taken out of the market. Economic uncertainty has also fallen since the US election although it is still elevated since the earlier last fall … Read more VIX and What to Expect – The Odds Against the Big Jump