Importance to Enter In a Financial Market after a Proper Analysis
Macro Vol Commentary- The normal summer doldrums were interrupted toward the end of the month with Facebook earnings providing a slight hiccup to the domestic equity market vol crush that marked the first few weeks of July. We believe one of the main catalysts driving the slight pick-up in realized volatility was an earnings miss from the social networking behemoth that caused a subsequent -20% sell-off in the stock. This move seemed to ruin the persistently over-crowded “long FAANG” trade that we saw investors aggressively rotate into post the February “Volpocalypse”. We believe this sparked an unwind of investors who had entered into the trade lacking major conviction and resulted in the Nasdaq dropping more than -4% over the last few trading days of the month. As a result, we saw a bid in implied Quantitative Hedge Fund overall and a significant jump in Nasdaq implied vol, ending the month trading at a more than 6pt premium to the VIX, suggesting very expensive cost to own US tech...