Nomura: The 'Murder' Of US Equity Vol Continues, Until...

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by Tyler Durden
Monday, Jan 29, 2024 - 08:20 PM

While the week ahead is set to deliver an armada of event-risk, the most notable market theme continues to be the "murder of US Equities Index Options Skew / Put Skew and ATM Vol" in the face of this risk.

  • QRA arrives (Initial QRA borrowing est at 3pm today, then the actual Announcement Wed 830am);

  • concentrated Mag7 EPS (GOOGL, MSFT, AMZN, META, AAPL);

  • FOMC meeting;

  • and JOLTS / ADP / ISM / NFP / AHE

So, the question is, given the avalanche of US equity "vol supply", what could finally go wrong?