The month of February was a wakeup call for the explicit short volatility trade, that, until recently has been one of the most profitable positions to have in the market.
Whether there were fundamental reasons underpinning the rise in vol or the structure of short volatility products was the proverbial tail wagging the dog, the volatility during the month of February was one for the history books.
This has prompted us to explore whether or not the rise in volatility was mostly confined to the equity market or this fear has made its way across asset classes.
On today's show, special guest co-host Frank Kaberna and our futures market strategist Pete Mulmat join Ryan to look at cross-asset volatility and correlations between the various volatility indices.
The idea being... If our assumption is that volatility is set to continue its rise from multi-decade lows, we can find potential opportunities to spread off risk by being long vol in an asset that's relatively cheap to equities in volatility terms, while being short volatility in equities, following the shock we experienced last month.