The REAL bubble is the Vix, argues JPMorgan's Marko Kolanovic, pointing out a stubbornly high spread between the Vix and actual, realised volatility.
Show this thread
-
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?
I don’t actually know if selling vol is particularly attractive right now — I can certainly imagine many ways it could go horribly wrong — but agreed, my point is that *this particular argument* for why you should do it is disingenuous, not that you shouldn’t do it.
-
-
Always inverse Marko.
Thanks. Twitter will use this to make your timeline better. UndoUndo
-
Loading seems to be taking a while.
Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.