Speculators Have Never Been This Short VIX (As Volatility Hits Record Low)

This is not how it’s supposed to work.

“Buy low, Sell high” they say. But in the new normal of risk-parity strategies, momentum igniters, and trend-following CTA flows, its “Buy high, buy more higher… and never sell until you’re forced to liquidate”

Amid the longest period of low volatility complacency in US stock market history, which saw realized volatility and VIX (expectations for future volatility) collapse to near-record lows.



Speculators decided that this was the perfect time to add to speculative short VIX positions…



Having twice surged to new record highs (in September 2016 and Jan 2017), VIX speculators have now pushed their net short position (implicitly bullish for stocks) to its largest in contract history.

What is even more intriguing is speculators added to net dollar longs (as the dollar dumped).



And dumped Eurodollar shorts (folding on rate-hike bets)…



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Author: Travis Esquivel

Travis Esquivel is an engineer, passionate soccer player and full-time dad. He enjoys writing about innovation and technology from time to time.

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