The Volatility of the Times
An escalating series of crises is engulfing elite institutions
“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…
