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Friday, March 29, 2024

Vol Curve Mangling Continues As March Debt Ceiling “Drop Dead” Day Looms

Courtesy of ZeroHedge. View original post here.

Submitted by Tyler Durden.

We explicitly noted that the purchase of vol steepeners across the debt-ceiling deadlines was the short-term trade as soon as the ATRA deal was approved. In the brief period since, the VIX term-structure has smashed from its flattest (most inverted) in 2 months to its steepest now in 5 months as hedgers roll out to March and beyond. Of course, all algos know is that they can lever VXX (and other synthetics) in the short-term to ramp equities higher – and sure enough the S&P 500 just hit highs above the highest close since December 2007.

Spot and futures curve steepening…

Short-term…

Medium-term…

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