The REAL bubble is the Vix, argues JPMorgan's Marko Kolanovic, pointing out a stubbornly high spread between the Vix and actual, realised volatility.
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Can’t really compare VIX to realized vol (Kolanovic knows this ofc). The VIX is high because the skew premium and convexity premium are high ie investors think you will get absolutely murdered if you sell vol and there is a big correction.https://twitter.com/macrocephalopod/status/1357838424699531269 …
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Best way to understand this is as a sales pitch. Banks love to buy variance, especially with a fat spread built in, but customers have stopped selling it. K trying to change that!
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More murdered than usual, I mean.
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Agree straight Vix to RV is a sub-optimal way into his argument (and he oddly uses 2w RV to compare to Vix?). And there might be a self-serving element to it. But the core argument - vol-selling attractive now - seems sound?
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agreed
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