It really is very quiet

We mean, for poor Macro Man “there have been only five prior days in his lifetime where the 30 day historical volatility of the SPX has been lower” — January 3-6, 1994 and September 12, 1995.

And consider this series of charts from Citi.

Continue reading: It really is very quiet

We mean, for poor Macro Man “there have been only five prior days in his lifetime where the 30 day historical volatility of the SPX has been lower” — January 3-6, 1994 and September 12, 1995.

And consider this series of charts from Citi.

Continue reading: It really is very quiet

Back to a low vol FX world?

This is from HSBC’s FX team, they of most fervent RORO use, who basically think that if Brexit, the Turkish coup attempt and the BoJ’s not pulling the trigger as expected didn’t rattle the markets properly then something must be up.

To demonstrate this, they take us back to 2014 when things were in proper (and the fear was indefinite) low vol mode:

Continue reading: Back to a low vol FX world?

This is from HSBC’s FX team, they of most fervent RORO use, who basically think that if Brexit, the Turkish coup attempt and the BoJ’s not pulling the trigger as expected didn’t rattle the markets properly then something must be up.

To demonstrate this, they take us back to 2014 when things were in proper (and the fear was indefinite) low vol mode:

Continue reading: Back to a low vol FX world?