Premium'Shock Risk Is Real': BofA Quants Warn As Stock/Index Vol Spread Nears DotCom Extremes
"Shock risk is real," warns BofA's lead quant, Riddhi Prasad, in his latest must-read note (available here for pro-subs), as he sees the spread between single-stock and index-level vol at '90s DotCom bubble extremes.
As various US equity sectors and factors gyrate sharply and AI-related bubble-like price action builds further, single stock realized volatility has risen to historically elevated levels (now in the 92nd %ile since 1990), last seen in the build-up of the late 90s dotcom bubble.