Say hello to panic

The Market Ear Picture

VIX panic is here

VIX 2/8 months futures spread continues moving sharply higher. This "under the hood" VIX measure is basically in panic mode.

Source: Refinitiv

Brits are back

Absolutely nuts commentary from BoE's Bailey. GBP dumping, dragging the world with it...

Source: Refinitiv

Can't Bailey out of this

1 month and 10 day realized volatility on the UK 30 year. This is not your average small cap stock...Let's see how things play out when UK bonds start trading tomorrow.

Source: Refinitiv

All about macro

Nobody cares about single stocks. It is all about index hedging. Noteworthy is that despite all going on in indexes, the relative bid for downside protection remains depressed. Second chart shows the skew index.

Source: GS

Source: Refinitiv

It is all one asset

That is at least what you would think when looking at cross asset realized correlation. As Barclays writes: "... indication of the overarching impact of the toxic combination of aggressive policy and slowing global growth".

Source: Barclays

Rate volatility lead ERP

Elevated rates vol has likely added pressure to equity risk premia compression.

Source: Datastream

Erratic agony

We haven't moved much if you zoom out and look at where we traded some 2 weeks ago, but the short term moves are killing short gamma dealers. Just look at the SPX futures px action over past 2 sessions. The chart shows very probable "buy high sell low" behavior. All these trades are executed in a mechanical fashion where liquidity is scarce...

Source: Refinitiv

The fading pillar of this market

Tech has continued to implode. Note the relative earnings lag vs SPX. Tech's yield problem eventually caught up to reality...

Source: BofA

Tech fear is huge

"VIX" of Apple, AMZN and Google all at/close to new recent highs.

Source: Refinitiv

The dollar sucker

Tech is a dollar sensitive play and remains the "sucker" post the latest dollar move. Note how the SPY/QQQ ratio has moved in tandem with the DXY.

Source: Refinitiv

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