Chart of the Month – Interest Rate vs Equity “Fear”: Two different worlds

by Alexis Sautereau

Interest Rate vs Equity “Fear”: Two different worlds

Source JP Morgan

SRVIX vs VIX “gap” is once again getting very extreme.

The current gap has been mentioned during multiple conversations with HF managers recently. They also confirmed that equities are not realizing much volatility nor is much “exogenous” risk being priced in for now, as suspicious as it may sound….

The latest turbulence further to the implosion of Archegos is so far just an isolated event, but there is a general trend pushing risk managers to look through the portfolios and the average order book, simulating scenarios in a new way.

Yields have put in a “big shooting star candle”.

Will we get a pause in yields and rates vol?… Most believe that SRVIX vs VIX gap isn’t sustainable.








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