Podcast series by Dean Curnutt, Alpha Exchange

Alpha Exchange

Podcast series by Dean Curnutt

The Alpha Exchange is a podcast series launched by Dean Curnutt to explore topics in financial markets, risk management and capital allocation in the alternatives industry. Our in depth discussions with highly established industry professionals seek to uncover the nuanced and complex interactions between economic, monetary, financial, regulatory and geopolitical sources of risk. We aim to learn from the perspective our guests can bring with respect to the history of financial and business cycles, promoting a better understanding among listeners as to how prior periods provide important context to present day dynamics. The “price of risk” is an important topic. Here we engage experts in their assessment of risk premium levels in the context of uncertainty. Is the level of compensation attractive? Because Central Banks have played so important a role in markets post crisis, our discussions sometimes aim to better understand the evolution of monetary policy and the degree to which the real and financial economy will be impacted. An especially important area of focus is on derivative products and how they interact with risk taking and carry dynamics. Our conversations seek to enlighten listeners, for example, as to the factors that promoted the February melt-down of the VIX complex. We do NOT ask our guests for their political opinions. We seek a better understanding of the market impact of regulatory change, election outcomes and events of geopolitical consequence. Our discussions cover markets from a macro perspective with an assessment of risk and opportunity across asset classes. Within equity markets, we may explore the relative attractiveness of sectors but will NOT discuss single stocks.

Quantitative Analysis

<ul><li>Dissertation findings show that earnings event risk premium for single stocks makes straddles punitive to own</li><li>Discussion on inflated S&amp;P 500 implied volume levels before macro events like CPI, nonfarm payrolls report, and FOMC meetings</li><li>Recent work on implied dividends shows very little risk premium in dividends, market charging almost nothing for bearing risk of disappointing dividends</li></ul>This content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.

Dissertation findings show that earnings event risk premium for single stocks makes straddles punitive to ownDiscussion on inflated S&amp;P 500 implied volume levels before macro events like CPI, nonfarm payrolls report, and FOMC meetingsRecent work on implied dividends shows very little risk premium in dividends, market charging almost nothing for bearing risk of disappointing dividendsThis content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.

Garrett DeSimone, Head of Quantitative Research at OptionMetrics

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

Chicago Board Options Exchange Volatility Index / Equity Derivatives

Chicago Board Options Exchange Volatility Index (VIX INDEX)

Chicago Board Options Exchange Volatility Index

<ul>
<li>The <a href="https://www.smartkarma.com/entities/chicago-board-options-exchange-volatility-index" target="_blank" data-smartkarma-citation="entities:31501:1" rel="noopener">VIX INDEX</a> has reached very OVERSOLD levels, it could bounce soon. Our models predict a short-lived bounce, probably 1-week.</li>
<li>An increased VIX could trigger panic selling also in Asia-Pacific markets, dragging down returns and increasing volatility.</li>
<li>The S&amp;P500 is also WEEKLY OVERBOUGHT, the combination of VIX OVERSOLD and SPX OVERBOUGHT for us is a clear indication: WEEKLY pullback incoming!</li>
</ul>


The VIX INDEX has reached very OVERSOLD levels, it could bounce soon. Our models predict a short-lived bounce, probably 1-week.
An increased VIX could trigger panic selling also in Asia-Pacific markets, dragging down returns and increasing volatility.
The S&amp;P500 is also WEEKLY OVERBOUGHT, the combination of VIX OVERSOLD and SPX OVERBOUGHT for us is a clear indication: WEEKLY pullback incoming!


EQD | A Quick US/Global Equities Correction IS Possible Soon (...a Really OVERSOLD VIX...)

<ul>
<li>The <a href="https://www.smartkarma.com/entities/chicago-board-options-exchange-volatility-index" target="_blank" data-smartkarma-citation="entities:31501:1" rel="noopener">VIX INDEX</a> last week reversed up and briefly touched 17, it's OVERBOUGHT according to MRM WEEKLY SHORT model.</li>
<li>VIX Index could pull back a bit this week, then go up again, but not much higher than 18. Volatility should end this coming week, or early the following week.</li>
<li>WEEKLY and MONTHLY OVERSOLD MRM reading on global markets suggest an imminent bounce, possibly a lasting MONTHLY bounce - unless all of a sudden the market enters a Bear Market.</li>
</ul>


The VIX INDEX last week reversed up and briefly touched 17, it's OVERBOUGHT according to MRM WEEKLY SHORT model.
VIX Index could pull back a bit this week, then go up again, but not much higher than 18. Volatility should end this coming week, or early the following week.
WEEKLY and MONTHLY OVERSOLD MRM reading on global markets suggest an imminent bounce, possibly a lasting MONTHLY bounce - unless all of a sudden the market enters a Bear Market.


EQD | VIX Index WEEKLY: Has Volatility Already Peaked?

<ul>
<li>The <a href="https://www.smartkarma.com/entities/chicago-board-options-exchange-volatility-index" target="_blank" data-smartkarma-citation="entities:31501:1" rel="noopener">VIX INDEX</a> is currently OVERSOLD from a time perspective, but not yet from a price perspective: if it falls &lt;13, there is a high probability it will reverse up.</li>
<li>A spike in the VIX will correspond to a drawdown in equities, globally. The MRM model indicates a 1-2 weeks duration for the event, price targets between 16 and 18.</li>
<li>After the spike, the VIX could start to fall again, so this upcoming volatility spike should be a brief, short-lived event.</li>
</ul>


The VIX INDEX is currently OVERSOLD from a time perspective, but not yet from a price perspective: if it falls &lt;13, there is a high probability it will reverse up.
A spike in the VIX will correspond to a drawdown in equities, globally. The MRM model indicates a 1-2 weeks duration for the event, price targets between 16 and 18.
After the spike, the VIX could start to fall again, so this upcoming volatility spike should be a brief, short-lived event.


EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

Founder & Chief Market Strategist - SAV Markets, SAV Markets

Shyam Devani

Founder & Chief Market Strategist - SAV Markets

Provide Comprehensive Analysis & Commentary

SAV Markets

SAV Markets aims to provide comprehensive analysis & commentary on foreign exchange and asset markets. The approach is multi asset as markets are typically interlinked. Cause and effect are always at work, even if those effects take time to manifest. As nothing is permanent we strive to get ahead of the curve in an ever changing world.

<ul>
<li>The bullish breakout on the VIX Index looks similar to January</li>
<li>Further gains are expected, probably this week and as we enter May</li>
<li>As a consequence expect continued losses on the S&amp;P 500</li>
</ul>


The bullish breakout on the VIX Index looks similar to January
Further gains are expected, probably this week and as we enter May
As a consequence expect continued losses on the S&amp;P 500


United States

The VIX Index is a financial benchmark designed to be an up-to-the-minute market estimate of the expected volatility of the S&P 500® Index, and is calculated by using the midpoint of real-time S&P 500 Index (SPX) option bid/ask quotes.

Chicago Board Options Exchange Volatility Index (VIX INDEX)

Garrett DeSimone, Head of Quantitative Research at OptionMetrics

Dissertation findings reveal overpricing of event risk premium in single stocks and the S&P 500, leading to punitive straddle costs and potential...

Alpha Exchange

EQD | A Quick US/Global Equities Correction IS Possible Soon (...a Really OVERSOLD VIX...)

The VIX index is very, very oversold and could spike soon. This could generate sell-offs in US and global equities. The spike should be short...

Nico Rosti

EQD | VIX Index WEEKLY: Has Volatility Already Peaked?

The VIX Index is OVERBOUGHT, it could go higher, but not significantly higher, then volatility should deflate. Global markets show signs of an...

Nico Rosti

EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

Sunday Reading: the VIX Index WEEKLY is becoming OVERSOLD, if it goes near 10 there is a high chance it will spike up, and equity volatility could...

Nico Rosti

VIX Index on the Move

Further gains on the VIX Index after the breakout on Friday warrants serious concern for the S&P 500 in the near term. Further stock market...

Shyam Devani

Garrett DeSimone, Head of Quantitative Research at OptionMetrics

Dissertation findings reveal overpricing of event risk premium in single stocks and the S&P 500, leading to punitive straddle costs and potential...

Alpha Exchange

EQD | A Quick US/Global Equities Correction IS Possible Soon (...a Really OVERSOLD VIX...)

​The VIX index is very, very oversold and could spike soon. This could generate sell-offs in US and global equities. The spike should be short...

Nico Rosti

EQD | VIX Index WEEKLY: Has Volatility Already Peaked?

​The VIX Index is OVERBOUGHT, it could go higher, but not significantly higher, then volatility should deflate. Global markets show signs of an...

Nico Rosti

EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

Sunday Reading: the VIX Index WEEKLY is becoming OVERSOLD, if it goes near 10 there is a high chance it will spike up, and equity volatility could...

Nico Rosti

VIX Index on the Move

Further gains on the VIX Index after the breakout on Friday warrants serious concern for the S&P 500 in the near term. Further stock market...

Shyam Devani

The VIX index is very, very oversold and could spike soon. This could generate sell-offs in US and global equities. The spike should be short...

The VIX Index is OVERBOUGHT, it could go higher, but not significantly higher, then volatility should deflate. Global markets show signs of an...