Volatility Review Monetizing the convexity risk premium, US structuredproduct dynamics, Positioning update Implied convexity continues to exhibit very high levels of stress and lags the recovery in other risk premia. We recommend monetizing this rich risk premium by selling Jun’21 variance swaps vs. buying 0.75x the vega notional in Jun’21 vol swaps on the S&P 500.Additionally, steep longer-dated skew and…
Retail stocks were punished on January 27, 2016 as fear levels increased over the potential for a border tax.The...
Costco (COST) reported 4th quarter results that showed a surprising beat on the bottom line. Initially, the stock reacted with a nearly...
J.C. Penney (JCP) reported less than expected top-line growth for the Q3 2016 period while reporting in-line EPS expectations. Last week,...
This coming week is important, given the Presidential debate on Tuesday evening (9pm ET). And as we look ahead,...
Weekly Warm-up: ResistanceHolds; Earnings Upside vsMultiple for Stock Selection Last week’s failure to break through technical resistance for second...
The Major Trend Index was unchanged at a High Neutral reading of +1 in the week ended March 1st....
Question: “How do you perform well over time and never let the volatility deter you?” Answer: “Position long, hope...
JPM Market Recap
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JP Morgan Market Volatility Report
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