CatalystFutures Digest

Vol complex is asleep—VIX of VIX 5th %ile, Nasdaq vol 2nd, SPX dispersion 9th. But skew 94th says someone is still paying for tail risk.

CNH

$11.54

+0.04%

TLT

$80.34

+0.27%

What changed

Copper and corn both 100th %ile. Yen 98th, CNH 0th. The macro tape is not calm under the hood. SOL 92nd, ETH 91st while equity vol prices zero fear. That’s a crowded calm. Kalshi has NDX 32000-32499 Dec 31 at 4%. Crowd is not positioned for a breakout, it’s positioned for a snooze. So what: broad vol complacency + hot commodities + FX stress = if vol mean reverts, the unwind is sharp. Watch the tail, not the tape. Watch: $6B_F $CNH $TLT $UB_F $XLE $XLK

Why it matters

Copper and corn both 100th %ile. Yen 98th, CNH 0th. The macro tape is not calm under the hood.

Sources

digest