FX: Non-agricultural report awakens volatility? The market may face a VIX outbreak

The non-farm payroll data released last Friday may have been the catalyst that finally woke the fear index (VIX) from its slumber.

According to Charlie McElligott of Nomura,The fear index is becoming "Nervous And Squeezy"。

The VVIX (which measures the volatility of the VIX and is a leading indicator) shows that traders' positions were challenged before the August expiration date.They were extremely short the VIX put, and McElligott pointed out that traders were also heavily short the VIX put, which caused the VIX to soar。

Especially considering that market volatility has skyrocketed in previous August months.

Of course, there is also the risk thatThese bullish positions could fall sharply, which could lead to a massive sell-off of VIX options and a rally in the stock marketDue to the fact that there may not be any more spot selling of stocks this week.

However, given the systemic volatility position control, the squeeze of the fear index remains a potentially significant problem. Looking back over the past three years, risk exposure on the VIX has now risen to the 95.8 percentile in three years.

Therefore, Nomura Securities warns that,If the daily volatility range of the S & P 500 expands, then volatility control will be a volatile seller.

McElligott estimates that in the past, if the S & P 500 index fell or rose by 1%, there would be about $4.20 billion of position selling. However,A current 2% move would result in a bet sell-off of about $35 billion.

FXTForex reminds investors that the next important data in the market will be released on Thursday, including CPI data and initial jobless claims. Financial blog Zero Hedge said that the upside of the S & P 500 index may be limited to 4550 points until Thursday.Because the release of these data will bring a relative premium to the VIX。