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10-year rates increased today by roughly four bps to close at 4.23% following a stronger-than-expected JOLTS report. The report overlooked healthy, in my view, with the layoffs in October lower and the number of quits moving higher. One would think that if people quit their jobs, they have found a better one. Tomorrow, we will get ADP at 8:15 AM ET and ISM services at 10 AM. Of course, who can forget that we will get Jay Powell tomorrow at 1:40 PM ET?
Of course, you would never know that Powell was speaking tomorrow in a Q&A session with a VIX 1Day at 8.3, but hey, this a market with no worries.
If I had to guess, by the time Powell speaks tomorrow, the VIX 1Day will be in the mid-teens, and by the time we get to Thursday’s close, it will be in the low 20s, ahead of the job report. So, this little period of tranquility is probably passing for now.
Of course, with the 10-day realized volatility at 5, all it will take is 31 bps or so in the S&P 500 to move realized volatility higher and a move greater than 75 bps to move the 20-day realized volatility higher. Volatility is volatility, and so whether the market rises or falls, realized volatility is due to increase. The last time I realized volatility was this low was back in mid-July.
The last time USDJPY was at its current levels and strengthening was at the end of July and beginning of August, ahead of a jobs report.
And maybe implied volatility is due to go higher anyway. 1-month implied volatility for the USDJPY has undoubtedly been rising, and it trades right along with the IV of the S&P 500. Right now, the two appear to be on separate paths.
So, I would guess that overall volatility is due to a rise from these current levels, and potentially by a lot.
Anyway, I have nothing more to say.
But as my 10-year-old daughter told me on Sunday when boarding the Long Island Rail Road heading into Manhattan: “Mind The Gap, Dad.”
-Mike
Charts used with the permission of Bloomberg Finance L.P. This report contains independent commentary to be used for informational and educational purposes only. Michael Kramer is a member and investment adviser representative with Mott Capital Management. Mr. Kramer is not affiliated with this company and does not serve on the board of any related company that issued this stock. All opinions and analyses presented by Michael Kramer in this analysis or market report are solely Michael Kramer’s views. Readers should not treat any opinion, viewpoint, or prediction expressed by Michael Kramer as a specific solicitation or recommendation to buy or sell a particular security or follow a particular strategy. Michael Kramer’s analyses are based upon information and independent research that he considers reliable, but neither Michael Kramer nor Mott Capital Management guarantees its completeness or accuracy, and it should not be relied upon as such. Michael Kramer is not under any obligation to update or correct any information presented in his analyses. Mr. Kramer’s statements, guidance, and opinions are subject to change without notice. Past performance is not indicative of future results. Neither Michael Kramer nor Mott Capital Management guarantees any specific outcome or profit. You should be aware of the real risk of loss in following any strategy or investment commentary presented in this analysis. Strategies or investments discussed may fluctuate in price or value. Investments or strategies mentioned in this analysis may not be suitable for you. This material does not consider your particular investment objectives, financial situation, or needs and is not intended as a recommendation appropriate for you. You must make an independent decision regarding investments or strategies in this analysis. Upon request, the advisor will provide a list of all recommendations made during the past twelve months. Before acting on information in this analysis, you should consider whether it is suitable for your circumstances and strongly consider seeking advice from your own financial or investment adviser to determine the suitability of any investment.
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Charts used with the permission of Bloomberg Finance L.P. This report contains independent commentary to be used for informational and educational purposes only. Michael Kramer is a member and investment adviser representative with Mott Capital Management. Mr. Kramer is not affiliated with this company and does not serve on the board of any related company that issued this stock. All opinions and analyses presented by Michael Kramer in this analysis or market report are solely Michael Kramer’s views. Readers should not treat any opinion, viewpoint, or prediction expressed by Michael Kramer as a specific solicitation or recommendation to buy or sell a particular security or follow a particular strategy. Michael Kramer’s analyses are based upon information and independent research that he considers reliable, but neither Michael Kramer nor Mott Capital Management guarantees its completeness or accuracy, and it should not be relied upon as such. Michael Kramer is not under any obligation to update or correct any information presented in his analyses. Mr. Kramer’s statements, guidance, and opinions are subject to change without notice. Past performance is not indicative of future results. Neither Michael Kramer nor Mott Capital Management guarantees any specific outcome or profit. You should be aware of the real risk of loss in following any strategy or investment commentary presented in this analysis. Strategies or investments discussed may fluctuate in price or value. Investments or strategies mentioned in this analysis may not be suitable for you. This material does not consider your particular investment objectives, financial situation, or needs and is not intended as a recommendation appropriate for you. You must make an independent decision regarding investments or strategies in this analysis. Upon request, the advisor will provide a list of all recommendations made during the past twelve months. Before acting on information in this analysis, you should consider whether it is suitable for your circumstances and strongly consider seeking advice from your own financial or investment adviser to determine the suitability of any investment.
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