Goldman Warns Risk Underpriced Amid Lowest Q1 VIX Level On Record

Tyler Durden's picture

It appears a number of sell-side shops are catching on to just how unprecedentedly low VIX was in Q1, as we noted first here.

Despite a quarter characterized by elevated policy uncertainty and an intense focus on tax reform, infrastructure spending and deregulation, U.S. equities had one of their lowest volatility quarters on record.

As Goldman notes, the average VIX level in Q1 was 11.69, the lowest first quarter in VIX history. Low volatility levels were persistent, with the VIX trading in a tight band between 10.6 and 13.1 over the first quarter.If we include all calendar quarters, Q1 2017 was the second lowest quarterly average VIX level back to 1990; only ranking behind Q4 2006, when VIX averaged 11.03.

Estimating the VIX based upon payrolls, ISM levels and economic policy uncertainty, Goldman suggests an average VIX level of 13.7, two points higher than the Q1 average.

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Soul Glow's picture

And yet have made sure their clients bought the reflation trade at the top.  Hey muppets you ready to hold the bag of shit again?

NugginFuts's picture

They already are. Goldman told them it was potpourri and don't mind the scent - it grows on you. 

GUS100CORRINA's picture

Typical Goldman ... Buy High and Sell Even Higher. 

This market is due for a fair value reset. Note I am not saying crash, just a reset although it will feel like a crash.

Market valuations are off the charts historically and everyone CB knows it.

Soul Glow's picture

Agreed.  I'm looking at the reflation trade to grind lower during the summer, and get a 20% pullback in the fall.  Then stocks flail around for another year or two before the epic crash we've all been waiting for.

Snaffew's picture

i guess take the small profits and try to hang around financially until the markets break support...not dip 10 points below it and surge higher, but really break it on a sizable downdraft.

Dr. Engali's picture

Meh. Who needs insurance when we have Janet? 

_RRR_'s picture

Teh Donald don't like teh Janet. Next year he's gonna make his own puppet to run the show

Bryan's picture

I guess I picked the wrong time to invest all-in UVXY?

Snaffew's picture

meanwhile...BTFD rules again!

Pareto's picture

yup.  Thinking the same thing.  Almost totally recovery and a VIX slam.  SPX will finish solid green.  The more things change.......

Snaffew's picture

with the US budget almost used up...where the fuck is the fed getting their $$$$...I guess supporting the stock market trumps medicaid and SS spending.

Snaffew's picture

S&P goes from 2344 to 2358 in 3 from the fed?

Sudden Debt's picture

About 3 to 4 more months and I'm going to start shorting again.