Tuesday, August 16, 2016

The Last Volatility Cycle

Exactly one year ago this week - aka. Options Expiration - the wheels came off the bus, following major Yuan devaluation.

Circled at left:

One year later, global risk has increased in every direction: Commodities, currencies, global stocks, global yields, global Financials.

Only the S&P 500 is higher...

Following Brexit, Central Banks went ALL IN to ensure that global gamblers did not become risk averse in the face of unprecedented risk.

Gamblers went ALL IN on yield, which is now rolling over...
The "low volatility" implosion fund:

Junk bonds

Cash balances

Currency risk is now re-accelerating:

Short-covering is over
S&P / Small cap ratio:

Cyclicals bounced
Car Max

Volatility collapsed to multi-decade lows

Natural gas and oil bounced
Nat gas / Oil ratio:

Greed went ALL IN again:
The IPO Mutual Fund:

Long-term realized volatility: