Saturday, January 9, 2016

2008 x 1997: History's Largest Volatility Explosion

USA Today front page: "Don't panic the sheeple"

The Wilshire 5000 total market index has given back two years of gains...

"No need to panic, go back to Kardashians, we'll warn everyone when the top is in, like we didn't do last time..."

World ex-U.S. at 20 year low with commodities at 40 year low:

Global macro
Canadian dollar, commodities, EM currencies, EM debt

Oil at 12 year low, with volatility (red line)

S&P with momentum

S&P ratio of $USD

Junk bonds weekly

Canadian stocks

South African Rand / Dollar

Realized volatility

Wall Street unhedging
Index put/call


Options volatility (S&P 100):