​Weekly Bulletin: Dec 15-19

Dec 19, 2014

The week was a roller coaster of activity in both the broad U.S. equity benchmarks and the CBOE Volatility Index, as volatility remained at elevated levels, following last week’s VIX move to 21. The behavior of the VIX is also changing, with sharp spikes and drawdowns expected to be the new normal in 2015. Also in the U.S., we talk a look at pension and endowment hedging and their potential underutilization of the VIX. In flow, EEM has seen a third consecutive week of put spread trading, while Morgan Stanley also saw heavy put trading this week after its stock climb to new post-crash heights. In Europe, a recent deluge in investment grade supply combined with a surge in volatility driven by declining oil prices has opened the opportunity for investors to enter a long risk CDX IG/Short SPX strategy, while uncertainty surrounding the election of a new Greek president, combined with elevated oil volatility and the over performance of oil stocks in recent days, is likely to weigh on investors’ minds over the holiday period.

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