As one of the worst market carnages in history unfolds, and the long-awaited short volatility trade collapses, the markets mean reverted early Tuesday morning and engaged in wild but balancing behavior. That mean reversion can be seen in the unwinding of the notorious Credit Suisse “XIV” short volatility exchange traded note. But just how jarring has the market volatility really been? A Barclays report says the market crash volatility does not accurately reflect fear and was more technical in nature, while Goldman Sachs agrees with the technical causation. The fear-gauge acted on “technical” trading that moved the market, not fundamentals…
Market Crash In Volatility Was “Technical” In Nature, No Clear market Villain Say Bank Analysts
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.