Hello Mr. Kramer:
Your essay make clear that the market gain on the 22 aug was due to volatility decay.
I wonder if volatility increase caused the market selloff that occurred on the 19th?
Is it a coincidence that the selloff and gain on these dates were essentially mirror transients?
Your thoughts on what caused the selloff of 19 Aug will be appreciated.
Marcus
Yes, that could very much be the case. I think it also has to do with liquidity being drained as the Treasury refills the TGA.
Mike
Hello Mr. Kramer:
Your essay make clear that the market gain on the 22 aug was due to volatility decay.
I wonder if volatility increase caused the market selloff that occurred on the 19th?
Is it a coincidence that the selloff and gain on these dates were essentially mirror transients?
Your thoughts on what caused the selloff of 19 Aug will be appreciated.
Marcus
Yes, that could very much be the case. I think it also has to do with liquidity being drained as the Treasury refills the TGA.
Mike