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The Volatility of the Times

The Volatility of the Times

An escalating series of crises is engulfing elite institutions

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Policy Tensor
May 20, 2022
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The Volatility of the Times
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“Volatility is the best policeman of risk assets,” a fund manager told Zoltan. That’s exactly right. Macro regimes, seen as upcycles followed by downcycles, are encoded in VIX futures prices — in the price of systematic volatility. In order to isolate this cyclical component, we descale VIX by the double log transform and we smooth over 100 days. This a…

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