Fuente: zerohedge.com
The extraordinary market intervention by China in response to their declining market, coupled with further ‘kick the can down the road’ policies by the EU regarding Greece, resulted in the greatest collapse in the history of the VIX index (which is still ongoing as I write). Over the past five days and counting the VIX has fallen -40% from 19.97 to 12.11.
The graph below shows data points representing the rankings of VIX peak-to-trough declines (y-axis = % drawdown in vol over consecutive days & x-axis = ranking ).
We would like to highlight:
- The ongoing decline in the VIX starting last week (and still going) is the largest supernormal volatility collapse in VIX history
- 3 of the largest supernormal VIX collapses have occurred in the last year alone
- The top 7 ranked power law violations have ALL occurred during the regime of monetary easing between 2010 and today
In summary, over the past 2 years, we have been experiencing a quantifiable ‘outlier’ or ‘black swan’ decline in the VIX every 6 months as evaluated against history.
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