A recent interview I did with Bloomberg about risk, volatility, and the VIX, which I co-pioneered with Prof. Menachem Brenner. “Risk Is Misunderstood by Many Investors, Says VIX Pioneer”, by Yakob Peterseil www-bloomberg-com.cdn.ampproject.org/c/s/www.bloomb…

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.

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.

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

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

Chesapeake Energy, fracking pioneer, files for bankruptcy owing $9bn theguardian.com/environment/20…

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.

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.

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

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

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

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

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.

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