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.
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.