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Barton
@Barton_options
, 6 tweets, 1 min read Read on Twitter
(1/5) The *global* rise in Vol-controlled funds,

and yield-enhancement in pension/endowment, structured products, variable annuities (this group fueled by CB easy money)

are working closely together to make equity/future/rate markets into giant Volga-Vanna bombs.
(2/5) high-Volga = significant narrowing in width (time-base) for vol spikes in recent years .
vol crush begets vol crush;
vol spike begets vol spike

affecting indices, ETFs, and some single names (AMZN, NVDA etc)
(3/5) high-vanna (option delta change driven by IV change)-> highly fundamentals-defying price action.

vol crush --> rally --> more vol crush (and repeat)
vol spike -> sell-off -> more vol spike (and repeat)
(4/5) Together, you get zig-zag price actions going straight up or down (on daily, weekly & monthly time frames)

This massive positive feedbacks within and across different asset prices, still building, should be powerful enough for the next financial crisis (in 7-9 years?)
(5/5) Fascinated by data/stories of major players in building up this feedback loop right now.

hopefully I will get enough of them to fill 2-3 books to be released during the next big crisis.

Nevertheless, "make money first, write books later."
(p.s.) One needs high leverage for the big crisis. not there yet.
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Barton
@Barton_options
@drsclark ER is the reserve capital of banks (banks’ asset) sitting on a Fed account, being paid IOER (1.95%) and can be taken out by banks at any time (and no longer get IOER interest accruals).
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