Below is a chart and brief excerpt from today's Early Look written by Hedgeye CEO Keith McCullough.
|
Since LIQUIDITY and LEVERAGE are going to be causal factors during the next US stock market crash, you should absolutely respect those risk management Factor Exposures. That said, confusing a small group of fund managers seeing their performance crash with The Cycle crashing has been a mistake. Where is this IMPLIED VOLATILITY of > +40% that your data-driven process tweets of? A) SPY’s Implied Volatility just ramped to a +61% PREMIUM vs. 30-day realized (vs. a -16% DISCOUNT only 1-month ago) And what was happening 1-month ago to generate those complacency (bulls chasing) & capitulation (shorts covering) signals (i.e. double-digit IMPLIED VOL DISCOUNTS)? A: 10 all-time closing SPY highs in the month of April. |
