• Global ‘Black Hole’ Risk Rising: A Discussion With Danielle DiMartino Booth

    Former Fed advisor Danielle DiMartino Booth discusses key economic developments and the outlook for Fed rate cuts with Hedgeye CEO Keith McCullough.

Editor's Note: Below is a chart (and excerpt) from today's Early Look written by Hedgeye Macro Analyst Ben Ryan.

CHART OF THE DAY: Implied Volatility Discounts (And Factual Realities) - zaa

That point is emphasized because it’s exactly what we’ve seen the last two weeks after a very rare environment from a hedging cost and volatility surface perspective. As we show in the Chart of the Day, the U.S. equity market vehicles that:

  1. Corrected the most in October
  2. Were most volatile in October (see percentile readings on the far right side of the chart)
  3. And have bounced the most from the lows
  4. Have the deepest Implied Volatility DISCOUNTS

Here’s What We Know For Sure about the future vs. past comparison gleaned from the widening implied volatility DISCOUNTS:

A growing “implied volatility DISCOUNT” is rate-of-change proof that the market is increasingly putting October’s volatility environment in the rearview.

CHART OF THE DAY: Implied Volatility Discounts (And Factual Realities) - 11.09.18 EL Chart

CHART OF THE DAY: Implied Volatility Discounts (And Factual Realities) - early look