Pod: Back in the Straddle!

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The Monday Note:

Back in the Straddle

Show Note Visuals:

This is starting to look like a long-term strategic program order. On a side note, interesting to see Exxon Mobil as the only major US equity add.

In absolute terms there is no argument that the spike in implied volatility was comparable with moves seen during the ‘greatest hits’ of crises of the past. CBOE Implied 3M Correlation (blue), VIX (red) and MOVE (green).

However, the pace at which order has been restored within the equity complex (volatility and correlation) is eye opening.

Acorn Update: SPY Straddle

The yield on the 2-Year note is continues to be at a level of discount to the Fed Funds rate not seen since ahead of the GFC or in the run up to the Dotcom bust.

Bond market stress can also be seen in the Treasury Market dislocation index.

Trump’s odds have dropped since Biden’s withdrawal from the race, yet there is still evident trend strength in that ‘bear steepener’.

With long-term inflation expectation already still much closer to 3% than 2% for comfort for holders of long-term bonds…

…at a time when inflationary campaign pledges from the Harris campaign will not be helping the dynamic.

Squirrel Out!

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