After dominating headlines for 3 years, Europe has taken a back seat in 2013, with little news from the European periphery we all used to hear so much about. But Europe is still 1/3 of global GDP, … [Read more...]
Vol Around the World – Commodity and Currency Volatility Now Above Average
1:13 pm EDT - May 16, 2013 By Enis
Volatility in all asset classes has ticked up in the past week, but the real movement has been outside of the stock world. I discussed in yesterday's VIX Snapshot some potential reasons why equity … [Read more...]
Name That Trade $MCD – Golden Arches
3:12 pm EDT - May 13, 2013 By Enis
McDonald's has been on an incredible decade-long bull market run, knocking off fast food competitors left and right and making tens of billions of dollars for its shareholders in the process. Here … [Read more...]
Vol Around the World – Volatility of All Global Equity Indices Near Lows
2:00 pm EDT - May 9, 2013 By Enis
While the 3 month volatility in the SPX has been solidly below its 52 week average for all of 2013, the volatility metrics for the other global indices have popped higher on occasion this year. But … [Read more...]
$PCLN Q1 Earnings Preview
11:50 am EDT - May 9, 2013 By Dan
Event: PCLN report their Q1 earnings TONIGHT after the close. The options market is implying about a 6.1%* (last quarter the implied move was a~7.25% and the stock move was only ~1.5%). The 4qtr … [Read more...]
Macro Wrap – Pension Funds, the Ignored Behemoths
7:33 am EDT - May 7, 2013 By Enis
Public and Private Pension Funds own about 16% of the publicly held companies in the U.S. Compare that to 3% for hedge funds as a whole. Here's the chart from GS Research, courtesy of Sam Ro at … [Read more...]
Vol Around the World – Global Vol Moves Lower as SPX 1600 Approaches
2:01 pm EDT - May 2, 2013 By Enis
With the SPX making a new all-time high today, how has the vol market reacted in the past week? Equity implied volatility is back near the 52 week lows in the U.S., while global equity vol has not … [Read more...]
Vol Around the World – Vol Correlation Quite High
12:19 pm EDT - April 26, 2013 By Enis
Calmer markets have returned. Even though it's been a low volatility environment for essentially all of 2013, the correlation of volatility has been quite high. That's to say, vol has risen … [Read more...]
Macro Wrap – $CAT and $GE Earnings Implications
8:14 am EDT - April 22, 2013 By Enis
GE and CAT are 2 of the largest industrial companies in the world. As consumers, we are rarely exposed to the industrial segments of the world economy. No surprise then, that financial media often … [Read more...]
Vol Around the World – Vol Spikes Globally
2:38 pm EDT - April 18, 2013 By Enis
Volatility in all asset classes finally spiked higher for the first time in 2013. Commodities had been jittery for weeks now, and I kept commenting in this space that I was surprised at how low … [Read more...]
Vol Around the World – Spread Between Japan and Rest Widens
3:12 pm EDT - April 11, 2013 By Enis
In the last week, the Nikkei is up about 10% while the Yen is down 7%, huge moves once again in Japanese assets. Not surprisingly, implied volatility in Japanese financial markets continues to be … [Read more...]
Chart of the Day – The Almighty Euro
2:31 pm EDT - April 9, 2013 By Enis
The Euro's demise has been a popular topic in the media for many years now. Talk of a breakup of the Eurozone, a continent-wide banking crisis, and continued political issues in the periphery have … [Read more...]
Vol Around the World – Japanese Assets the Only High Vol
2:38 pm EDT - April 4, 2013 By Enis
As the market struggles for direction (SPX has closed within 20 points of 1550 for the past month), implied volatility is not moving much either. Last week saw a rise in European assets' implied … [Read more...]
Vol Around the World – Europe and the U.S. Diverge
1:01 pm EDT - March 28, 2013 By Enis
I mentioned in yesterday's VIX Futures Snapshot that European asset volatility had increased in the past week, while U.S. volatility measures were still near the lows of the year. Euro Stoxx 50 and … [Read more...]
Macro Wrap – $F and a Stronger Dollar
8:01 am EDT - March 26, 2013 By Enis
Ford CEO Alan Mulally remarked yesterday in a Bloomberg TV interview about his concern regarding the recent depreciation of the Japanese Yen. I've been watching Ford's stock, considering a long … [Read more...]
Vol Around the World – Global Equity Volatility Rising
Volatility markets are starting to rise in lockstep across asset classes. The commodity markets were the first to see increased volatility this spring, followed by the currency markets in the past … [Read more...]