¿Recuerdas cuando ocurrió la crisis de 2008, fruto de la quiebra de Lehman Brothers y sobre todo, de los SUBPRIME? Tardamos días en enterarnos qué coño era eso de las subprime… Se quedaron los bancos que se fueron a la mierda sin liquidez en unos activos “subprime”, que eran unas estructuras financieras que metían hipotecas y deuda pública y se habían comercializado en el sistema financiero. Hubo un momento que nadie las quería y los emisores las pasaron canutas y quebraron… Afectaron a los bancos europeos también, con Deutsche Bank, ING y ABN AMRO que desapareció…
Está pasando lo mismo en estos momentos, no se entiende bien el causante, ni mucho menos los efectos que tendremos… Se llama VIX. Te lo voy a contar y te aseguro que no te vas a enterar…
Ahora no es que sea algo parecido sino que hay por medio otros productos financieros que están causando todos estos males. El índice VIX de volatilidad y los productos derivados que se usan como cobertura en los mercados financieros…
No sabemos quién fue primero si el huevo o la gallina. ¿El lunes bajó primero Wall Street, o subió primero el VIX? Grande es la duda. Pero lo que sí tengo muy claro es que la venta masiva de Wall Street el pasado lunes fue motivada en parte por una subida de rendimientos de los bonos yanquis, en parte porque la inflación incordia, pero sobretodo, porque el índice VIX arrancó hacia arriba y se llevó por medio a muchos, provocando ventas masivas de acciones que tardaban en encontrar contrapartida por haberse reducido mucho la liquidez.
Han pasado unos días y las cosas se han tranquilizado, pero la duda sigue viva, ¿cuántos activos financieros han sido tocados por culpa de la subida extrema del VIX y su operativa como cobertura en tantos activos que hay por ahí bastante apalancados?
Esta es la evolución del índice VIX de volatilidad (la volatilidad lo que mide es el vaivén que sufre un activo/mercado de un día para otro o intradia)
Se ve mejor aquí:
Hemos pasado de hacer mínimos de volatilidad durante meses, a dispararse en pocas horas y destrozar muchos arbitrajes, muchas coberturas…
La duda de quién se movió antes si el VIX o la bolsa de EEUU es enorme, pero me temo que fue primero el VIX:
Como consecuencia directa: Se han derrumbado varios ETFs inversos que especulaban contra la volatilidad:
Ha pasado de valer 0.50 a cotizar a 0.03 y se ha cerrado.
Ha pasado de 140 dólares a 7.8 dólares y ser cerrado… Pasó de tener una capitalización de 1700 millones de dólares a cero…
Y el de Nomura lo mismo. Malditos ETNs…
¿A quién pilla el que se cierre el inverso del VIX? A ti y a mi no, que somos unos mindundis, pero al gestor profesional, al gestor de riesgos financieros de los bancos y gestoras, a ese de fijo…
+Volatility/Options Traders. Options prices got very skewed in January as the market melted up. Call options became expensive and puts were close to free. Anyone who bought into those prices to get long “on the cheap” is now forced to unwind in a hurry.
+Risk Parity Investors. Picture the classic 60/40 stock-bond portfolio, but juiced up with leverage and a computer algorithm to allocate capital. When the historically negative correlation between stocks and bond goes positive (as it has in the last week), the computer models sell both to reduce risk exposure.
+Trend followers. US equity markets have traded in largely predictable patterns for years. Traders who simply follow those trends (again, with leverage to boost returns) must now sell as the trends reverse.
Y la siguiente duda, ¿cuántas operaciones están afectadas por culpa del VIX? Ni puta idea, pero deben ser bastantes. Se usaba de cobertura y afecta a muchos gestores que han tenido que salir vendiendo en masa acciones al quedarse abiertos.
Es el maldito problema irresoluto del apalancamiento y de los odiosas coberturas que complican y enturbian todo el sistema financiero…
Lo que sí ha sido claro también es que cuando hubo el rebote el día siguiente, fue porque bajó el VIX, se recuperó, y provocó que se tuvieran que comprar otra vez una cantidad enorme de acciones y por eso subió. No porque se hubieran abaratado y los inversores las quisieran comprar. Es muy pronto. Ni es un rebote de gato muerto tampoco… Son flujos de dinero que se mueven al unísono, acción reacción. No estoy cubierto, me tengo que cubrir. No tengo liquidez en unos productos, uso otros. Esa gente no coge y vende sus posiciones como haríamos nosotros para quitarnos el riesgo, usan todos los instrumentos que puedan, y que haya liquidez sobre los mismos, para que el efecto sea parecido, pero lo lían aún más…
Da la sensación que los mercados se mueven al calor de lo que haga el VIX, sobretodo, por lo que arrastra en derivados y coberturas esos movimientos. Quizás no sea a las bolsas lo que haya que mirar, sino a lo que va haciendo el VIX cada segundo, ya que las bolsas se mueven a su compás. O mejor dicho, la mueven masas de dinero que se tienen que cambiar fruto de los Hedge Funds, de derivados y de coberturas… Un desquicie!!!
Por si te interesa profundizar:
Now that inverse VIX ETFs have effectively blown up, suffering "termination events" like XIV earlier today, one of the forming bullish market narratives is that there will be no incremental "squeezed" buying of VIX from this key vol-selling group. Of course, there is a perfectly obvious flipside to that which few have pointed out, namely that holders of the inverse ETPs lost $3.4bn as the products went bankrupt, which removes a steady source of volatility supply over the last year.
But a bigger question is whether the vol selling is indeed over, and according to a just released analysts from Bank of America the answer is a resounding no. In a note from BofA's Benjamin Bowler, the derivatives expert writes that the ETP driven vol explosion which we described in painful detail previously, is just the beginning.
Here's why.
While BofA's model implements position changes in response to a given day's moves on the close the same day, in reality, both risk parity and CTA strategies operate over varying horizons. In any case, the bank's derivatives team expects actual rules-based risk parity and CTA strategies to implement significant allocation changes within a few days.
So, with BofA assuming $200bn in rules-based risk parity strategies and $250bn in model-driven CTAs, then its models estimate $140bn of global equity unwinds as a result of Friday's moves and another $60bn as a result of Monday's moves.
There are two ways to read that number: over the same two days global equity index futures volumes across the largest markets was approximately $1.6 trillion. So if BofA were to assume the entirety of equity unwinds were completed, then it would equate to approximately 12% of the volume over the last two days.
However, it is certain that the move is nowhere near done and BofA expects that if risk parity and CTAs are still unwinding equities in the coming days, then it will be against a continued rise in volumes due to higher volatility.
As a reminder, earlier in the day we presented calculations from Morgan Stanley's quant team, according to whom annuity funds will now need to sell between $30 and $35 bn of equities on Tuesday, and a similar amount Wednesday while Risk Parity could provide an additional $10 to $20bn in equity and bond supply this week.
Further, regarding risk parity BofA's models estimate that funds are on average around 1.3x leveraged with an about 30% allocation to equities. Assuming about $200bn in unlevered AUM, that gives nearly $75bn remaining exposure to equities. Since risk parity typically does not go short, remaining equity selling pressure - once the current $200BN is offloaded - should be less than what some estimate, the question however is how easily digested that initial sale will be.
There is some good news: According to BofA's models, CTA equity long positions are in the process of unwinding or are completely sold, with only $75BN left in global equitie4s.
While CTAs have the potential to continue selling via turning short, we believe the risk to that is low as CTAs often use moving average crosses to determine long and short positions. While specific parametrizations can vary tremendously across CTAs, in our opinion an important combination worth monitoring is both the 1M vs. 3M and 1M vs. 10M moving average crosses. Given the strong rally in equities over the last year and longer, the 1M moving average still remains well above the 10M and we do not believe shorts build up until we see that set cross.
However, speaking of CTAs, there is another potential major risk factor: a sudden spike lower in Treasury yields. Recall our article from January 24 "Momentum Traders Wreak Havoc For 2Y Treasurys, Could Unleash Sharp Bond Liquidation" in which we explained that some of the biggest marginal buyers, and sellers, of 2Y notes are CTAs.
Well, according to BofA's latest analysis, the rally yesterday in bond futures "is causing our model CTA portfolio to cover its short US bond futures position in order to limit losses. Given the recent significant trend lower in bond prices prior to Monday's reversal, our model's short position was quite high. Should actual CTAs also start unwinding their short US bond futures positions, then we may see a squeeze in the coming days."
Which brings us to BofA's final observation: according to the quant strategists, if today's dip is bought and we reach a local high, "CTAs could accumulate equity longs."
Given that moving averages still point to positive trending equities, we believe CTAs could actually reinitiate longs should we see a snap back in the next one to two weeks. This incremental buying pressure could help propel any reversal in the markets and is worth monitoring.
In other words, if only central banks provide just enough support to stocks today, we may all simply forget that on "Black Monday 2017" we saw the biggest volatility freakout in history and the algos will be back to buying the dip, as they always have been, in no time as nobody learns any lessons once again.
Y otro más:
Of all the harrowing things seen in the stock market Monday, one was a special nightmare for investors in what has become one of the stock market’s favorite strategies.
It’s short volatility, a bet against equity turbulence that traders have been piling into for years, lifting assets in related exchange-traded products to more than $3 billion, a record. Estimates of how much money is tied up in the tactic overall vary but one estimate from Chris Cole of the Artemis Capital Advisers hedge fund puts the total at more than $2 trillion.
That bet just got hit, hard. The Cboe Volatility Index jumped to 38.8 on Monday, its highest level since August 2015, prompting many betting against the measure to run for the exits and try to cover their trades.
In the scramble that followed, the S&P 500 index -- both a direct and indirect hedge for volatility trades -- plunged. At least two VIX-related ETPs stopped trading for five minutes or more as volumes soared. And funds that went short continued to tumble in late trading with the VelocityShares Daily Inverse VIX Short-Term ETN down 84 percent from the close and the ProShares Short VIX Short-Term Futures ETF slumping 79 percent.
Those products “have effectively been wiped out," Pravit Chintawongvanich, head of derivatives strategy at Macro Risk Advisors, wrote in a note. Still, “the short vol products have covered 95 percent of their risk, meaning that the ‘VIX blowup’ event has effectively already happened. If the upward pressure on VIX (and to a lesser extent, downward pressure on S&P futures) was driven mostly by the VIX ETPs, that source of pressure is gone," he wrote.
Futures on the VIX slipped to as low as 23.75 in early European trading Tuesday, before paring that drop to 29.0 as of 10:40 a.m. in London.
Reverse Course
The two largest exchange-traded products that wager on low volatility took in $1.7 billion in January, a record. And why not? Plowing cash into them has been a license to print money since roughly 2015. While the VIX’s average level since 1990 has been 19.3, during the past three years of market calm, that number has been close to 14.
To see how unexpected today’s events were, just look at options on the volatility gauge. The most-active VIX options on Monday were at strike prices like 15, 22, 18 and 16. VIX February calls with a 30 strike price weren’t even in the top 10 most-traded contracts.
Simultaneous Hedging
“All of the trades that have triple-shorted VIX have to be hedged and people are trying to hedge at the same time,” Robert Parks, managing director in equity derivatives at RJ O’Brien and Associates LLC, said by phone. “It happened so quickly that the market wasn’t prepared to absorb what everybody was doing.”
Outflows from systematic strategies, including short volatility and volatility targeting, could amount to about $100 billion in the days ahead, JPMorgan Chase & Co.’s Marko Kolanovic wrote in a note, while adding that “the ongoing market sell-off ultimately presents a buying opportunity.”
The last time volatility was this high, China had just devalued the yuan and a weekend of pent-up orders caused chaos when markets opened. This Monday, there wasn’t much clarity about what was driving either the spike in volatility or the slump in stocks.
“There’s such an active market in volatility itself that volatility can drive the market,” said Luke Oliver, the head of ETF capital markets at Deutsche Asset Management.
Queda todo bastante complicado de entender, pero dependemos de lo que haga el VIX y poco importan ahora lo bonos, las expectativas, la inflación, los beneficios empresariales…, todo es secundario y los mercados se la meterán o no en función de los derivados y coberturas que haya que hacer nuevas al no funcionar el maldito VIX…
Abrazos,
PD1: Los culpables han sido Nomura Bank y Credit Suisse:
Los derivados, esas armas de destrucción masiva, como las calificó en su día Warren Buffett, están detrás del incremento súbito de la volatilidad de Wall Street y no otras situaciones fundamentales. La liquidación desordenada de posiciones en ETF Short VIX (SVXY), fondos que juegan en contra de los incrementos de la volatilidad, ha cogido con el pie cambiado a los dos bancos y generado pérdidas conjuntas de 3.400 millones de dólares. Este movimiento ha sido replicado por ordenadores, que compran y venden con programas informáticos, elevando aún más la volatilidad. El índice VIX ha subido más del 200% en apenas tres días
Este tipo de fondos necesitaban cubrir cientos de millones en posiciones cortas incluso antes de que las cosas se hicieran muy mal.
While we await news on whether Credit Suisse will (or won't) terminate the retail-favorite XIV ETN, following its historic, 90% collapse, some other ETF/ETN providers are starting to terminate their VIX-linked offerings.
Moments ago, Nomura Europe Finance said the Next Notes S&P500 VIX Short-Term Futures Inverse Daily Excess Return Index ETN will be redeemed early, after a condition for early redemption was triggered due to movements in the underlying index. The underlying index on the ETN is the S&P500 VIX Short-Term Futures Inverse Daily Excess Return Index
The ETN in question, 2049.JT has not yet open, and based on this announcement, it looks like it won't.
PD2: Y si quieres ver como se podría complicar todo un poco más, el propio apalancamiento simple al comprar acciones. Los inversores estadounidenses les gusta comprar acciones a crédito, pidiendo un préstamo sobre las propias acciones que se compran, pudiendo doblar la cantidad invertida. De locos. Funciona que te cagas cuando todo va bien, pero son créditos que se deben devolver o que se piden garantías cuando la cosa se tuerce, como ahora.
Sí, se ha pedido el máximo de crédito nunca pedido. Como todo funcionaba, como todo subía sin problema, sin riesgo, sin nada de volatilidad, se compraba cada vez más, a crédito, con jugosas ganancias que ahora se tornan en pérdidas y hay que vender corriendo para cerrar esos créditos. Mira lo que hay comprado a crédito (se llama margin debt):
PD3: Bonito ripio: ¡que Dios te quite lo que te sobre y te de lo que te falte! Podía ser una buena oración para pedir por los demás, cuando les veamos… Y no pienses en la barriga como lo que sobra, puede que haya cosas que sobren más importantes que la panza. Y lo que te falte es muy claro, para mí el primero: + fe, + esperanza y + caridad…
