Below is a brief excerpt transcribed from Monday's edition of The Macro Show hosted by Hedgeye CEO Keith McCullough.
The volatility of volatility last week took investors right to the point of maximum FOMO and anxiety.
Hopefully you learned from it.
On Wednesday, once again the VIX threatened to break down below 31. Remember: That's the spot where equity investors really struggle historically.
Regardless it held through 31, when it closed on Friday at 37.19 and immediate-term upside to 47.14 today. You are most likely going to see a four handle on the VIX here early in the week and that makes a lot of things uninvestable.
That’s a big point I want to make there in as much as implied volatility premiums and discounts, you always have to pay attention to the rates of change of those.
The implied volatility discount on the S&P 500 was down to 37% this morning. The lowest point for S&P implied vol discounts was -60% last week (that's a new low). Again -55% to -60% is where investors expressed incredible levels of FOMO.
