Volapalooza in the Rearview Mirror?

Falling Realised Vol. Is it Good or Bad?

5722 - 5732 are the index decision points moving forward.

Something to consider over the next 6-8 trading days: "Volapalooza" will disappear from the lookback period. I use ~40 days because of the way the VIX calculation is constructed.

This causes two things to happen:

1. Realized volatility for that lookback period will drop.

2. Realized volatility for that lookback period will drop.

Typo, Chris?

Nope. We will likely see an expansion in risk due to the drop in realized volatility, which will allow systematic funds to increase exposure or leverage. I think this is the first part. Moving forward, that means volatility will have an easier time breaking out again, as the hurdle will be much lower.

This is not a crash prediction! Cool your jets. We need to think a couple of steps ahead so we don’t miss a step and end up at the bottom of the staircase.

Overnight I guess we get the breakout of that narrow range.

• Open Equity = 30.6%

• Stop Loss Potential = 25.4%

• Closed equity Return = 22.9%