So if you look on CME CVOL tool you can see the implied vol. When we’re rallying like this, I ultimately want to see a top put in and a move lower in implied vol, not neccesarily a specific number as it’s hard to quantify because there’s loads of moving parts. Same with credit spreads, you just don’t want to see them start blowing out wider, not a specific number. So this is my view:
Oil implied vol & skew starts moving lower as oil begins creating lower lows through sessions, below $80.. while credit spreads remain tight and equity implied vol moves lower
Thanks! Specifically about the credit spreads, they’ve been widening since February based on the proxy I watch on trading view (ICE BOA BBB), but still near cycle lows. So widening, but not too wide?
Yeah so you’d not want to see HYG & LQD moving lower with momentum as implied vol blows out higher. If spreads widen slowly, alongside a grind in growth + higher inflation, that can also cause downside in equities. But yeah, if spreads blow out with speed, I’d want to get out of the way
There’s tonnes of moving parts but I’d say focus on how fast spreads are widening alongside the relative levels of the spreads
Great ma bro!!, I’m going to be long when I see tankers passing through the straight, Until that happens, it's just time for the market to stop believing the headlines and start seeing the real flows.
Great work Alfie ,fully follow great framework
The oil situation is now a little more complex then Trump announced on Monday ,Iran attacking oil tankers today
thanks Mark! yeah it is, but interesting to see how the market is absorbing all these headlines and not really shifting much
When you say the “want to see implied vol drop” what are you measuring? A number? Continuous dropping for a certain number of days? % move down?
Same question with credit spreads
So if you look on CME CVOL tool you can see the implied vol. When we’re rallying like this, I ultimately want to see a top put in and a move lower in implied vol, not neccesarily a specific number as it’s hard to quantify because there’s loads of moving parts. Same with credit spreads, you just don’t want to see them start blowing out wider, not a specific number. So this is my view:
Oil implied vol & skew starts moving lower as oil begins creating lower lows through sessions, below $80.. while credit spreads remain tight and equity implied vol moves lower
Thanks! Specifically about the credit spreads, they’ve been widening since February based on the proxy I watch on trading view (ICE BOA BBB), but still near cycle lows. So widening, but not too wide?
Yeah so you’d not want to see HYG & LQD moving lower with momentum as implied vol blows out higher. If spreads widen slowly, alongside a grind in growth + higher inflation, that can also cause downside in equities. But yeah, if spreads blow out with speed, I’d want to get out of the way
There’s tonnes of moving parts but I’d say focus on how fast spreads are widening alongside the relative levels of the spreads
This and previous articles are gold.
Happy to hear it’s useful man!
Great ma bro!!, I’m going to be long when I see tankers passing through the straight, Until that happens, it's just time for the market to stop believing the headlines and start seeing the real flows.
Love it !