Below is our "Chart of the Day" and a brief excerpt from today's Early Look written by Hedgeye Macro analyst Ryan Ricci.
|
1 Month vol is above 3 Month vol, which creates forced selling for Vol Control Funds. We remain in deep negative gamma, where we see large amounts of volatility. The entire short-dated calendar vol curve was taken up to 18 from 15 on Monday. There is a further acceleration towards 20 as we approach the FOMC meeting on the 31st. |
