As we leave “free markets” behind, how should we think about relative equity volatility.

Sep 11, 2023
∙ Paid

I have been fascinated by “volatility” markets for years. Products that sell volatility to generate yield (or converting the premium you receive from selling volatility into a form of fixed income) - autocallables - have been an interest for me for years. Over the years we have seen various blow-ups in the volatlity markets - HSCEI in 2015/6, KOSPI in 2019. Back in GFC, Japanese autocallable products, particularly in currency markets proved to be totally disastrous. Most investors should remember the overnight implosion of XIV, a short VIX ETF, in 2018.

One of the things that I started to look at was trying to work out when volatility is “mispriced”. (This is a paid post - but I am offering a free trial to anyone that signs up to my other substack - www.jarrettclarkracing.com )

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