Updated Thoughts on Volatility - March 26

Mar 26, 2018

April VIX futures are down 1.06 to 19.36. Volatility is still high despite the bounce back today. Our view is that volatility would be down more if the market didn’t remain vulnerable. We are looking for the market to weaken as the week progresses. Our view is driven by the thought that we will see short volatility strategies (i.e. risk parity) re-balancing into the end of the quarter. That said, once we get through this week, we may see limited downside in the near-term and less upside potential for volatility.

We see the next meaningful event as the ECB monetary policy meeting in Frankfurt on April 26th.