​Missing The Boat Again? Nikkei Long-Term Vol Decline Yet To Entice Macro Funds

During the beginning of 2016, the sharp spike in Nikkei 225 volatility caught many macro funds off guard, with the majority missing the boat on profiting from the move. An opportunity in participating in another significant vol move in the Nikkei has emerged, with a rapid collapse in Nikkei 225 long-dated vols occurring during the last two months, yet funds have failed to pull the trigger, even when two-year at-the-money vol moved as low as 19. Rob McGlinchey looks at what has driven the rapid decline in Nikkei long-dated vol and why all eyes are on April Uridashi issuance in an environment where spot continues to trend lower.