The SPX declined by 1.7% and is now down over 8% for the year, while the VIX curve inverted and the front contract increased by 3.3 to almost 29 percent.
The backwardation in the volatility term structure is a sign, that investors are increasingly concerned about the near term market risk, stemming from the upcoming FOMC meeting, and the hopefully not upcoming escalation in Europe.
The yield on a 10 year treasury note declined by 8.6 basis points to 1.76%, while Gold, the "other" safe haven asset could not book a profit and closed 0.2% lower. Meanwhile the real mother of all safe assets, the reverse repo facility of the Fed, increased to the highest level in 2022 with now 1.7 trillion dollar stashed away there.
Even though value lost 1.3%, the rotation out of growth is still in full force, with the ladder losing 2.5% and and ARKK down 5.7%.
The overarching story of the year is still inflation, and a March hike is still very certain with a 87% implied volatility, while markets also still price in 4 hikes for the year.
Regarding gamma: Trading action was very predictable despite the overall volatility and was defined by the strike at 4400/4450 and 4500.
We will wait for a fresh batch of open interest data before we are going to issue the definitive outlook for Monday, and we wish everybody a great weekend.
The backwardation in the volatility term structure is a sign, that investors are increasingly concerned about the near term market risk, stemming from the upcoming FOMC meeting, and the hopefully not upcoming escalation in Europe.
The yield on a 10 year treasury note declined by 8.6 basis points to 1.76%, while Gold, the "other" safe haven asset could not book a profit and closed 0.2% lower. Meanwhile the real mother of all safe assets, the reverse repo facility of the Fed, increased to the highest level in 2022 with now 1.7 trillion dollar stashed away there.
Even though value lost 1.3%, the rotation out of growth is still in full force, with the ladder losing 2.5% and and ARKK down 5.7%.
The overarching story of the year is still inflation, and a March hike is still very certain with a 87% implied volatility, while markets also still price in 4 hikes for the year.
Regarding gamma: Trading action was very predictable despite the overall volatility and was defined by the strike at 4400/4450 and 4500.
We will wait for a fresh batch of open interest data before we are going to issue the definitive outlook for Monday, and we wish everybody a great weekend.