vol_christopher (Christopher Cole)Bio: Artemis Capital CIO, macro thinking, volatility trading, meditation, and life. Ideas are my own.Link: http://www.artemiscm.comJoined: 20th Dec 2019 (~2.2 tweets per day) dabr.artesea - User vol_christopher EmailThis Premium lets you save unlimited bookmarks, PDF, DOCX files, PPTs and images. It also gives you a PDF copy of every page that you save. Upgrade to Premium → vol_christopher (Christopher Cole) Bio: Artemis Capital CIO, macro thinking, volatility trading, meditation, and life. Ideas are my own. Link: http://www.artemiscm.com Joined: 20th Dec 2019 (~2.2 tweets per day) Wednesday 18th March 2020 vol_christopher 20 min ago "The Ouroboros is a metaphor for financial alchemy. A dangerous feedback loop exists between ultra-low rates, debt expansion, asset volatility, passive investing, liquidity, and financial engineering that allocates risk based on volatility." Artemis 2017 artemiscm.com/s/Artemis_Vola… from Twitter Web App, retweeted 7 times, favourited 34 times vol_christopher 26 min ago Corporate share buybacks financed by debt on the way up.... corporate bail-outs on the way down. from Twitter Web App, retweeted 28 times, favourited 96 times Tuesday 17th March 2020 vol_christopher 13:18 What very few realize is that the Fed's actions over the past 48 hours are primarily intended to prevent a few massive hedge funds from completely immobilizing markets as they de-risk leveraged trades. It's not about the little guy or the corner business. from Twitter Web App, retweeted 655 times, favourited 2393 times vol_christopher 13:14 The Secular Decline of 1929 to 1946 taught us that when rates are lowered to zero-bound there is a breakdown of monetary policy to support equity prices As a result, equity markets begin to trend (lower and higher) and mean reversion (buy-the-dip) fails. pic.twitter.com/uhE6ne4ujl from Twitter Web App, retweeted 104 times, favourited 285 times Monday 16th March 2020 vol_christopher 02:28 @smccl_stocks You may be right. They can directly monetize the debt, buy equities, etc, etc, etc... nonetheless I do think something changed in the market psychology about Fed omnipotence the last two weeks. Whether this ages well or not... time will only tell... but I do find it funny. :) from Twitter Web App, in reply to smccl_stocks, retweeted 4 times, favourited 52 times Sunday 15th March 2020 vol_christopher 18:39 If a foreign enemy invaded US borders: threatened to kill or harm 1/10th the population, forced everyone to evacuate into bunkers, caused supply shortages, threatened to overrun key services, ask yourself... would the focus be on the stock market? Wake up leaders... we are at WAR from Twitter Web App, retweeted 105 times, favourited 509 times vol_christopher 18:33 Last week was the worst liquidity I have ever seen in my career, including 2008... and I don't directly trade credit. from Twitter Web App, retweeted 72 times, favourited 550 times Friday 13th March 2020 vol_christopher 21:43 That was a wild week, even comparative to 2008 At this pace, the dealer gamma will begin rapidly sucking in surrounding matter faster and faster until it devours the Earth from Twitter Web App, retweeted 51 times, favourited 350 times vol_christopher 10:58 The pandemic is a humanitarian crisis first and a financial crisis second. To succeed the US must treat root causes by stopping the spread and minimizing the human toll. A case study for management of the crisis in a democracy is in South Korea. We must follow their lead ASAP. from Twitter Web App, retweeted 49 times, favourited 261 times vol_christopher 10:46 Yesterday is what happens when a massive risk parity de-leveraging star explodes into a supernova and collapses into a negative gamma black hole. from Twitter Web App, retweeted 89 times, favourited 492 times vol_christopher 10:44 Many thanks to @EpsilonTheory, @ErikSTownsend, and @Barton_options who all have done amazing work getting the early word out on COVID19. I am not often proud of the financial community, but these individuals have been stellar with quality +early information about the pandemic. from Twitter Web App, retweeted 35 times, favourited 412 times Thursday 12th March 2020 vol_christopher 19:33 Risky growth assets do not become undervalued in a crisis because investors are irrational or stupid, but because they lack money, liquidity, financing or risk tolerance to buy or hold them. #allegoryhawkserpent As credit and liquidity tighten, we are seeing this occur again. from Twitter Web App, retweeted 58 times, favourited 189 times vol_christopher 13:11 and escape from the general march of events, and it is, therefore, better to disregard what is painful till it comes, and to think about what is pleasant." Leo Tolstoy, "War and Peace" from Twitter Web App, in reply to vol_christopher, retweeted 9 times, favourited 121 times vol_christopher 13:11 power in the human soul: one quite reasonably tells a man to consider the nature of the danger and the means of averting it; the other, still more reasonably, says that it is too depressing and painful to think of the danger, since it is not in man's power to foresee everything from Twitter Web App, in reply to vol_christopher, retweeted 5 times, favourited 88 times vol_christopher 13:10 "As the enemy drew nearer to Moscow, instead of the Muscovites' view of their situation growing more serious, it became more frivolous, as is always the case with people who see a great danger approaching. At the threat of danger there are always two voices that speak with equal from Twitter Web App, retweeted 45 times, favourited 177 times vol_christopher 12:50 The lack of global leadership is arguably as bad as it was prior to WWI. Poor leadership exacerbates all crises. from Twitter Web App, retweeted 63 times, favourited 332 times vol_christopher 12:31 The longest bull market in US history is officially dead. Bear markets can last for years as consensus knowledge that used to work fails, and volatility remains elevated The chart shows US equity perf through 30 combined bull and bear markets over 90 yrs #allegoryhawkserpent pic.twitter.com/hvQGinBkAf from Twitter Web App, retweeted 83 times, favourited 235 times Wednesday 11th March 2020 vol_christopher 21:50 The decision to bail-out industries (cruise lines, energy) that gorged on debt and share buybacks could provoke massive outrage given there are not resources for COVID19 testing or hospital beds for the sick. If you are a CEO, be careful what you lobby for. You just may get it. from Twitter Web App, retweeted 288 times, favourited 1161 times Tuesday 10th March 2020 vol_christopher 13:41 Don't focus solely on the stock market right now, it is largely a sideshow. The credit markets are going to tell you much more in the next few weeks as to the long term likelihood of continued equity volatility. from Twitter Web App, retweeted 205 times, favourited 948 times Monday 9th March 2020 Sunday 8th March 2020 vol_christopher 20:24 @Finumus1 True, until the zero bound is reached, which may occur sooner than many would imagine. For US Treasury Bonds to perform at the same level as they did in 2008, the UST 10-year yield will need to drop to -2.5%. from Twitter Web App, in reply to Finumus1, favourited 11 times vol_christopher 14:36 More than half of Corporate Share Buybacks are funded with debt, with many companies at the lowest tranche of IG and susceptible to downgrades. This is ~$1 trillion of buying support for the market that will be withdrawn, which also happened during previous buyback high of 2008 from Twitter Web App, in reply to vol_christopher, retweeted 42 times, favourited 175 times vol_christopher 14:17 Corporate share-buybacks have been a major contributor to low volatility as price-insensitive buyers purchase the market on weakness. 40% of earnings growth is via buybacks, but since the majority of that is debt-financed, and credit suffering, the snake has devoured its own tail pic.twitter.com/IAf7pQ7CR6 from Twitter Web App, retweeted 216 times, favourited 654 times Saturday 7th March 2020 vol_christopher 16:13 Market pundits say the market is cheap on a forward P/E basis Based on the same metric the market was "cheap" in 2001 and 2007 You cannot extrapolate the future from static past When economic entropy is rising, Forward P/Es are just a quantitative tool for cognitive dissonance from Twitter Web App, retweeted 103 times, favourited 652 times Friday 6th March 2020 vol_christopher 22:01 Building a successful portfolio is simple when you study 100 years of financial history: find assets that perform when Stocks and Bonds collapse, and boldly own them Long volatility hedge funds have clearly demonstrated why this works the last two weeks docsend.com/view/taygkbn from Twitter Web App, retweeted 49 times, favourited 256 times vol_christopher 00:57 You cannot solve an exponential problem with linear thinking. Everything about the US gov response to the COVID19 crisis has been linear - lives will be lost as a result If we responded with the same urgency we do to bail-out banks and implement QE, things may be different. from Twitter Web App, retweeted 196 times, favourited 850 times Thursday 5th March 2020 vol_christopher 19:18 @billvb_py @MikeOfGaia It is highly unfortunate that regulators allow retail investors to buy horrible products like TVIX and XIV on an exchange, but prohibit those same investors from participating in responsible and reputable private long volatility hedge funds that provide real diversification. from Twitter Web App, in reply to vol_christopher, retweeted 3 times, favourited 25 times vol_christopher 19:15 @billvb_py @MikeOfGaia The only solid ETF long vol product I trust is Nancy Davis's IVOL product, but this buys rate vol, not equity, and is largely a hedge against inflationary spikes. from Twitter Web App, in reply to vol_christopher, retweeted once, favourited 12 times vol_christopher 19:14 @billvb_py @MikeOfGaia For those so inclined, one option is to learn the basics of option theory (see McMillian for a good intro) and execute simple rules-based rolling put and call strategies as a hedge to equity exposure (perhaps with UST bonds or TIPs as collateral). from Twitter Web App, in reply to vol_christopher, retweeted twice, favourited 12 times vol_christopher 19:11 @billvb_py @MikeOfGaia I do not recommend trading instruments like VXX without detailed knowledge of VIX futures and options markets. The retail investor faces difficult choices on long vol without an ability to invest in hedge funds from Twitter Web App, in reply to billvb_py, retweeted once, favourited 12 times vol_christopher 18:49 Long volatility as a hedging strategy becomes incrementally more important as US Treasury bonds go to the zero bound. Volatility is not about monetizing vol spikes, but about hedging secular declines. from Twitter Web App, retweeted 53 times, favourited 248 times vol_christopher 18:30 It is hard to believe that just 12 days ago we were at all-time highs in the market Secular declines can go deeper for much longer than many investors fully appreciate At -11.5% decline, this barely registers on any long-term scale of drawdowns pic.twitter.com/eaEkFMETTD from Twitter Web App, retweeted 90 times, favourited 277 times vol_christopher 17:57 Corporate debt-to-GDP was at all-time highs with volatility near all-time lows before COVID19. There is substantial fragility in the system, and the second and third-order economic effects of this external shock are not fully appreciated. pic.twitter.com/4Seb3Hqtk3 from Twitter Web App, retweeted 114 times, favourited 319 times Wednesday 4th March 2020 vol_christopher 21:25 Volatility is agnostic to price direction. Erratic +4% up days following -3% down days are not traditionally signs of a healthy market. In addition, VIX at 32 is now lower than one-month realized volatility (36) and ten-day realized volatility (47). from Twitter Web App, retweeted 81 times, favourited 426 times vol_christopher 14:52 At that point, the snake will die and there is no theoretical limit to how high volatility will go, or stay elevated for elongated periods of time. Volatility and Alchemy of Risk - 2017 artemiscm.com/s/Artemis_Vola… from Twitter Web App, in reply to vol_christopher, retweeted 13 times, favourited 100 times vol_christopher 14:51 Like a snake blind to the fact it is devouring its own body, the factors that appear stabilizing can reverse into chaos. The danger is that the multi-trillion-dollar short volatility trade, in all its forms, will contribute to a violent feedback loop and crash. from Twitter Web App, in reply to vol_christopher, retweeted 19 times, favourited 89 times vol_christopher 14:50 The Global Short Volatility trade represents an estimated $3+ tn in financial engineering strategies that simultaneously exert influence over, and are influenced by, stock market volatility. Volatility is an input for risk and the source of excess returns in the absence of value from Twitter Web App, retweeted 48 times, favourited 187 times Tuesday 3rd March 2020 vol_christopher 20:46 A generation of investors believes that Central Banks are omnipotent and that pre-emptive strikes on financial stress are the solution to every crisis. Today, that world view is being tested. It could represent a profound shift in the collective consciousness and a new regime. from Twitter Web App, retweeted 149 times, favourited 650 times vol_christopher 20:23 The yield spread between a 30-year mortgage and a 30-year US Treasury is the highest since 2008. Although rates are dropping, it isn't reaching the end consumer. pic.twitter.com/GVqxB4YpoA from Twitter Web App, retweeted 148 times, favourited 434 times Rate Limit: users/show.json 899/900 - 15m Rate Limit: statuses/user_timeline.json 899/900 - 15m Rate Limit: friendships/show.json 179/180 - 15m Source: https://dabr.artesea.co.uk/user/vol_christopher Upgrade to Premium Plan ✔ Save unlimited bookmarks. ✔ Save PDFs, DOCX files, images and Excel sheets as email attachments. ✔ Get priority support and access to latest features. Upgrade to Premium EmailThis Send web pages & articles to your email inbox. If you have any suggestions, bug reports or comments, please let me know at bharani@hq.emailthis.me. You can also Tweet to us at @EmailThis_