Menachem Brenner

Menachem Brenner is Professor Emeritus-Active of Finance at the Stern School of Business, New York University. Co-pioneered the VIX.

[Menachem Brenner @BrennerMenachem]

@FinancialEduX To read about the origin and history of VIX see the item VIX in Wikipedia

[Menachem Brenner @BrennerMenachem]

@FinancialEduX To read about the origin of VIX see VIX in Wikipedia

[Menachem Brenner @BrennerMenachem]

@unusual_whales The markets are now in the "unknown unknowns" zone. One indicator of the UU zone is VVIX (Vol of Vol) was 152 yesterday, highest in 6 months.
Another indicator is the volume of Out of the Money(OTM) & Deep OTM Puts (e. g. Strike Price 480 & lower) for short maturities.

[Menachem Brenner @BrennerMenachem]

Re: Carry Trade and Leverage
They never learn from history. This happened several times before, notably LTCM in 1998.

[Menachem Brenner @BrennerMenachem]

3/3
Third, in all the cases above VIX rose dramatically as the Market tumbled or after. So far VIX did not predict Market disaster. Will it this time?

[Menachem Brenner @BrennerMenachem]

1/3 A few additional points: first, there were several occasions that VIX reached high levels, as in the cases mentioned: 1987, 2008, 2020. There were several cases of VIX over 50, most notable is the LTCM crisis in August 1998, the Greece/European Union in 2011.

[Menachem Brenner @BrennerMenachem]

2/3 February 6 2018, day after XIV(the short vol ETN) collapsed. Second, VXN which is based on the 100 NASDQ stocks, not including the riskier Hi Tec stocks has been much higher than VIX until about 2006, reaching a level of 70+ after the collapse of the Hi-Tec bubble in 2000

[Menachem Brenner @BrennerMenachem]

@Dean_La זה מדד סיכון. מודד את ציפיות המשקיעים בשוק המניות, כמה מסוכן יהיה השוק ב30 הימים הבאים. ככל שהוא יותר גבוה נצפה לראות תנודתיות גבוהה בחודש הקרוב כולל ירידות גדולות.

[Menachem Brenner @BrennerMenachem]

Equity markets are up, Volatility is down but rates keep going up. Though the Fed and some analysts are playing down inflation, rates will show the way, equities will decline and Volatility will jump.

[Menachem Brenner @BrennerMenachem]

The volatility term structure is now upward sloping reflecting expectations of higher volatility in the next 3-4 months.

[Menachem Brenner @BrennerMenachem]

So GameStock is now at 88.
With a shorterm vol of 700
And long term 350. Beware of options.

[Menachem Brenner @BrennerMenachem]

VIX + Dec futures about 22-23, lowest since March. Jan to June Futures 25+. Market does not worry about Transition, focuses on Pandemic, uncertainty of economic benefits of Vacinnes in the near future

[Menachem Brenner @BrennerMenachem]

What does the VIX Term Structure tell us? An increase in Vol from 23+to 26, now to Inauguration, Jan 20, then Flat to June. The market is mildly concerned about transition period, more concerned about the pandemic. It does not believe the vaccine will make a difference soon

[Menachem Brenner @BrennerMenachem]

The decline in VIX to a level we have not seen in a long time, seems to indicate that the market is betting on a peaceful transition of the presidency. We are still above the long run average due to the uncertainty surrounding the Pandemic.

[Menachem Brenner @BrennerMenachem]

The markets are up and VIX is down but the down sloping term structure of VIX is holding up, except for the Dec futures which is higher, indicating a concern around the inauguration date on January 3.

[Menachem Brenner @BrennerMenachem]

Chesapeake Energy, fracking pioneer, files for bankruptcy owing $9bn https://t.co/lK8QengxJI

[Menachem Brenner @BrennerMenachem]

Another day of VIX volatility. A sign of disagreement of market direction in the near future.

[Menachem Brenner @BrennerMenachem]

VIX Futures term structure is slightly downward sloping, except October's, higher than Sep And Nov. The difference indicates High Election Uncertainty.

[Menachem Brenner @BrennerMenachem]

The market continued optimism is accompanied by concern of a sharp downturn. This shows up in sizable trading in VIX futures. VIX is above 30, 50% above long-run average. Also, the term structure of VIX futures is flat, reflecting concerns of a downturn until the end of year.

[Menachem Brenner @BrennerMenachem]

Today’s Initial Jobless Claims were bellow expectations. The Market is down somewhat, VIX is almost unchanged But the message is in VIX futures, up 1.5%, across the entire term structure.