Volatility Review Monetizing the convexity risk premium, US structuredproduct dynamics, Positioning update Implied convexity continues to exhibit very high levels of stress and lags the recovery in other risk premia. We recommend monetizing this rich risk premium by selling Jun’21 variance swaps vs. buying 0.75x the vega notional in Jun’21 vol swaps on the S&P 500.Additionally, steep longer-dated skew and…
Since our publication of Cost of Higher for Longer in February, we have seen interest rates across the curve...
When you feel like giving up, realize that at that very moment, you are at the same fork in...
The S&P 500 (SPX) bottomed in March of 2009 at 666, the Devil’s Bottom as it has become known....
Somewhere’s in the recess of my childhood memories I can now hear Count Dracula from Sesame Street saying, “1...
It was a good day for Fitbit (FIT) shareholders yesterday and one that could not come soon enough. In...
In the week that was, the S&P 500 (SPX) found itself another leg higher, capturing new record-level highs and...
The ECI is the best measure of wage growth, but you still need to look under the hood, not...
Good weekend to all ‼️ This weekend is our off-reporting weekend but we continue to deliver market insights, analysis,...
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