Infinity Q

Macro Vol Commentary- Domestic equity market volatility continues to be muted with realized measures back to the lows of 2017 despite the drastic pick-up in realized volatility spreading through both Emerging Market (EM) equities and currencies. The U.S. has been rather resilient in the face of growing concern about the risk of contagion spreading into Developed Markets (DM), with a meltdown in EM not yet shifting investor psychology into risk-off mode. The slight pick-up in US implied volatility is due more to the rout that continues in tech (Tesla, FAANG) and concern over a worsening of trade tensions with China. As a result, many of the popular metrics within volatility are pointing toward bullish territory for major domestic indices (Russell 2000, Nasdaq, S&P 500) while Emerging market stress continues to permeate through both FX and Equity markets leading to potentially attractive dislocations in volatility. European equities, on the other hand, have become in

Macro Vol Commentary- The normal summer doldrums were interrupted toward the end of the month with Facebook earnings providing a slight hiccup to the domestic equity market vol crush that marked the first few weeks of July. We believe one of the main catalysts driving the slight pick-up in realized volatility was an earnings miss from the social networking behemoth that caused a subsequent -20% sell-off in the stock. This move seemed to ruin the persistently over-crowded “long FAANG” trade that we saw investors aggressively rotate into post the February “Volpocalypse”. We believe this sparked an unwind of investors who had entered into the trade lacking major conviction and resulted in the Nasdaq dropping more than -4% over the last few trading days of the month. As a result, we saw a bid in implied Volatility Hedge Funds overall and a significant jump in Nasdaq implied vol, ending the month trading at a more than 6pt premium to the VIX, suggesting very expensive cos

Macro Volatility Commentary Domestic equity market volatility continues to be muted with both implied and realized measures of volatility holding up well despite the drastic pick-up in realized volatility spreading through both Emerging Market (EM) equities and currencies. The U.S. has been rather resilient in the face of growing concern about risk of contagion into Developed Markets (DM), with a meltdown in EM not yet shifting investor psychology into risk-off mode. The slight pick-up in US stock volatility is due more to the rout that continues in tech (Tesla, FAANG) and concern over a worsening of trade tensions with China. As a result, many of the popular metrics within volatility are pointing toward bullish territory for major domestic indices (Russell 2000, Nasdaq, S&P 500) while Emerging market stress continues to permeate through both FX and Equity markets leading to potentially attractive dislocations in volatility. European equities, on the other hand, h