Capital Flows and Asset Markets
Autocallables and Volatility
WHAT GOING ON IN VOLATILITY AND AUTOCALLABLES?
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WHAT GOING ON IN VOLATILITY AND AUTOCALLABLES?

Is spiking volatility a sign of problems in the autocallable market?

Nikkei volatlity has been extreme over the last 5 or 6 weeks.

As has Kospi volatility - the home of the autocallable market.

8 month VIX futures have inflected higher, which I normally see as a signal for increased volatility.

Are we potentially on the cusp of a volatility shock? Could the autocallable market finally unwind?

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