Just a reminder, US markets will be closed tomorrow for Good Friday so there won’t be any daily trade signals. Hope everyone has a great long weekend!
So what a difference a year makes. Through the first three months of 2017 we were already talking about the unstoppable stock market and historically low volatility. We didn’t know it at the time of course but in hindsight we saw that it continued for the rest of 2017 making it the calmest year in history for the stock market measured in both realized and implied volatility.
Through three months of 2018, not the case at all. While it’s still very far from the most volatile in history, the dynamic has changed to one of uncertainty. The VIX futures term structure is one of our go-to proxies for risk and through 60 trading days it’s quite a bit lower this year then last.
And VIX futures contango isn’t low this year just compared to 2017. It’s actually the lowest levels through the first 60 trading days of the year since the financial crisis:
Our experience thus far has been pretty smooth in comparison to stocks which have been on a wild ride, but hopefully the markets will find some stability into next week. Have a fantastic weekend everyone!
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