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Friday, March 29, 2024

“You Are Here”: Citi’s Stunning VIX Chart

Courtesy of ZeroHedge. View original post here.

Something snapped in the VIX complex, seconds after Friday’s early close, sending it to a new record low of 8.56 at 13:00:14 ET…

… which as we showed yesterday, was less than 10% of the all time VIX high of 89.53, hit on October 24, 2008.

However, while the Friday VIX snap – which is still on the feeds and thus wasn’t a fat finger error – is yet another indication of just how broken, and/or how overrun by vol sellers the market is, below we present two even more striking, longer-term perspectives on the VIX courtesy of Citi.

As Citigroup notes, even after the recent backup, the VIX index is in its 0.5th percentile – that is, historically it has been wider than currently on 199 out of every 200 days. In other words, the “you are here” on the chart below has never been more to the left.

But it is not just a question of having reached this low level of implied volatility. As much as anything it is about the extended period of time we seem to be spending there.

Commenting on the above charts, Citi, which has turned increasingly bearish on credit in recent weeks, says that “implied vol is, in other words, sailing in the same unchartered waters as corporate credit”, and concludes sarcastically, “why buy vol if you believe that any selloff is impeded by a central bank backstop?

Why indeed?

So keep selling vol until one day vol finally explodes as CBs lose control, wiping out trillions in fake wealth in the process; just please don’t use the words “market” and “price discovery” until that happens.

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