Sigma(s) shaking markets
Does it feel like the system is shaking with some huge cross asset moves?
BofA notes: "last Thursday was the 24th time since 1928 that the S&P experienced two or more 3-sigma shocks in 10 trading days."
We have gone from extremely low realized volatility, to suddenly "weird" volatility hitting various markets (EU nat gas the most extreme one after today's moves).
Whenever you see these sudden vol clusters "out of nowhere", you need to manage risk carefully.When it comes to SPX, BofA continues:"Only in 3 of 23 episodes (and 1 in the last 50yrs) did the S&P surpass the prior month’s peak in the month following the second shock".Let's see how this plays out in equities land, but with current large short gamma and horrible liquidity, reshuffling big risks is not easy...
BofA notes: "last Thursday was the 24th time since 1928 that the S&P experienced two or more 3-sigma shocks in 10 trading days."
We have gone from extremely low realized volatility, to suddenly "weird" volatility hitting various markets (EU nat gas the most extreme one after today's moves).
Whenever you see these sudden vol clusters "out of nowhere", you need to manage risk carefully.When it comes to SPX, BofA continues:"Only in 3 of 23 episodes (and 1 in the last 50yrs) did the S&P surpass the prior month’s peak in the month following the second shock".Let's see how this plays out in equities land, but with current large short gamma and horrible liquidity, reshuffling big risks is not easy...
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