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US STOCKS: /BONDS: Brean Capital global hd of macro strategy Peter Tchir asked,
"Is VIX Going to 10 or 20 Next?" He said the week starts with "global equity
rally (excluding Jpn which had good data) and VIX dropping. There is some hedge
covering and return to risk on" as wknd "passed without any further escalation
with North Korea. Some parts of the admin. tried to dampen nuclear concerns."
- He adds it follows "now 'usual' pattern when facing wknd event risk: of
rallying on Mon. morning when the worst didn't happen. Unlike many of those
prior events, nothing conclusive occurred over the wknd. It isn't like the
French run-offs or French elections: nothing was decided over the wknd. While
there is a sense of de-escalation, it wasn't until Thu that investors were even
concerned about escalation. If anything, some new potential issues occurred
since the mkt closed on Fri. D.C. is going to be a driver in either direction. I
look at VIX, realized vol., correlatns, VIX fund flows, profit-tkg, VIX call
sprds, prior episodes of VIX spiking (40% Thu: spike.) I come out leaning on the
VIX 20 next side of the equation and think this morning's rally is premature and
an opportunity to de-risk."