Volatility Is Dead, Protection Is Cheap, And The Most Dangerous Months Are About To Begin

Don't be naked

Equities keep grinding higher, earnings are holding up and the macro backdrop remains supportive. But beneath the calm surface, the case for owning some protection is getting harder to ignore.

Long-end yields remain a risk, cross-asset vol is elevated, equity vol and skew are relatively cheap, and the calendar is about to turn into a seasonally much tougher period, particularly in midterm years.