A key relative value measure in volatility has begun to normalize, a new report from JPMorgan’s derivatives team notes. VIX ETP positioning has neared record shorts and is a contributing factor in the inversion in the front end of the VIX futures term structure, a point certain traders consider when accessing stock market health. Considering this and who is behind the net positioning, the JPMorgan derivatives team conduct quantitative analysis of a trading strategy based on their findings and essentially make a recommendation to follow the trades of Commercials (including hedgers) and trade against Non-Commercials (including hedge funds). JPMorgan derivatives team…
JPMorgan's Kolanovic Says Market "Ripe For Rebound," Watch Commercial Hedgers
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.