Volatility Cycle Turning - Trick or Treat Time
- Our volatility leading indicator (fundamental inputs only) has bottomed.
- The VIX has been resilient to economic volatility and fixed income volatility YTD, but this looks unsustainable as QT is finally gaining traction after almost 1.5 years.
- Ultimately, implied volatility will be anchored on realized volatility, but the background risk is rising. This makes longer-maturity hedges more attractive than 1-day options that mainly hedge event risk. This provides a stronger tailwind for 1m+ volatility to perform better.
Portfolio WatchVIXCyclicalTacticalMOVEEquitiesFixed IncomeEquity SectorEquity Region
