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We are adding the below charts of volatility to our extreme reading inputs as bear seems to be the new bull. Headline risks continue affecting assets, all trading in low liquidity environment.

VIX shot up to new recent highs today. VIX at 36, is pricing approx. daily SPX moves of 2.25%. Needless to say, VIX is rather extreme here and is adding to our extreme reading list.  

 

SPX term structure has gone totally inverted. The below chart shows the SPX term structure; orange (now), green (1 week ago) and blue (3 months ago). Short term volatilities are now becoming rather expensive. People buying short term protection here are discounting a crash pretty much.

 

VIX futures curve continues trading very steep. 1 month versus 6-month futures is totally inverted with front month versus 6-month futures trading by almost a 5-point premium. This is pricing big panic.

 

As we noted last week, watch the JPY as one of the biggest global risk indicators. It broke the 200-day average today, not great for the bulls.

 

We continue to agree with our logic for the long-term strategic gold view. It shines and protects. Gold is spiking above the 200-day average and taking out new highs.

More and more assets are adding to our max fear list. We are still not overly eager to get into the catching the falling knife trade, but we are getting close.

Source; charts by Bloomberg