Wednesday, May 3, 2017

Musing, Not Amusing: Bank of America ML On The VIX

From David Keohane at FT Alphaville:

It’s really very quiet out there
Like top ten quiet, lowest in 90 years quiet…
From BofAML on Wednesday:
The VIX fell below 10 Monday (closing at 10.11), a historically rare occurrence, as it has only closed below 10 nine times in its history since 1990. More remarkably, US realized vol has only been lower 3% of the time since 1928 (Chart 18). With near-record low US equity vol (Charts 8 and 9), a key question is how pervasive is this low vol across markets and asset classes and how unique is today’s low VIX to the current environment? In other words, is this a new normal, or have we been here before?
Well, you’d bet it’s not a new normal since a) emotions still have a place in the market and b) that’s always the safer bet. More so, broader measures of global risk, per BofAML, are not at such record depths:...MUCH MORE