Vampire Squid Plagiarism & The 1962 Bear Market

Not that we discovered the similarities between the recent volatility shock and 1962 we certainly were the first to cite it and write it up.  Goldie cribbed our research.

Only three times since 1950 has intraday volatility jumped so high as measured by a modified version of the Average True Range:  1) September 1955 after an extraordinarily period of calm the S&P500 tanked on September 26th when markets opened after President Eisenhower’s heart attack on the 8th hole of Cherry Hills Country Club over the weekend. The market quickly recovered; 2) January 1962 when the “Kennedy slide” began to accelerate; and 3) the October 1987 stock market crash.

Kennedy-Trump S&P500 Analog

This market is starting to look very similar to the JFK post-election rally, top, and bear market, which eventually bottomed when Khrushchev backed down during the Cuban Missile Crisis. We will post more on the JFK-Trump S&P500 analog later in the week.  — GMM, February 11, 2018

Here is Zero Hedge citing the Goldie piece:

…we refer readers to an overnight report from Goldman’s new derivatives strategist Rocky Fishman (whose year-end bonus prospects now look much better), who points out that while implied vol, i.e., VIX, briefly went bananas, it was the surge in realized vol that was the real shock, at least when it comes to P&Ls.

According to Fishman, while Q1 realized volatility was not extreme in absolute terms, it was a sharp reversal from 2017 that stood out. In fact, according to Goldman’s calculations the magnitude of the surge in realized vol from Q4 2017 to Q1 2018 – which rose 3.5 times – has been observed just twice in history: “only in the Cuban Missile Crisis and the 1987 crash had quarter-over-quarter SPX realized vol tripled over the past 70 years.”  – Zero Hedge,  April 17, 2018

Bollocks!  A citation would have been nice.

Nothing new and not out of character from the Vampire Squid.

This entry was posted in Economics, Equities, Uncategorized and tagged , . Bookmark the permalink.

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