Really brilliant commentary. Thanks for the insight on the CBOE 1-month implied correlation, a very interesting and potentially useful indicator. Do you have any thoughts on why the divergence between the SPY performance and the 1 month implied correlation drew so large starting about mid 2023? It looks like volatility became significantly suppressed starting mid 2023.
Hi Michael! Great content as always...question: do you have any color on todays Fed bids for 10-year notes totalling $11.4 bln and 3 month bills totalling $2.8 bln? Appreciate your time, Nigel
Really brilliant commentary. Thanks for the insight on the CBOE 1-month implied correlation, a very interesting and potentially useful indicator. Do you have any thoughts on why the divergence between the SPY performance and the 1 month implied correlation drew so large starting about mid 2023? It looks like volatility became significantly suppressed starting mid 2023.
Yes, that has been a trend we have seen now since then, as the Mag7 concentration has increased.
Hi Michael! Great content as always...question: do you have any color on todays Fed bids for 10-year notes totalling $11.4 bln and 3 month bills totalling $2.8 bln? Appreciate your time, Nigel
no, that is just part of normal operations for them to keep the balance sheet in the deesired range
Thank you!