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




Liquidity




Options volatility (S&P 100):