I want to wish everyone Happy Pi Day. I would also like to say I have no symptoms and I did not shake the hands of the Brazilian Press Secretary when at Trump’s Mar-a-Largo. Since he tested NEGATIVE, I have no worries. I have been sequestered anyhow inundated with clients around the world as this market has begun its decline.
Thank you for all the emails thanking us for our volatility models which were picking the week of 03/09. We still have not concluded this volatility. As they say, it ain’t over until the fat lady sings in opera (they usually have the best voices). We will release a specialized report for those interested in option volatility. Yes, our models are forecasting volatility and are not the typical implied volatility models which are simply weighted moving averages.
The VIX formula is not forward-looking. It is simply weighted to the current volatility and really projects the same trend will remain in motion. Our volatility models are NOT based upon such assumptions nor are they based upon moving averages. Our models are published on the VIX and the low there was the week of January 13th, 2020 which was the precise turning point on the Economic Confidence Model. This confirmed that we should have been expecting rising volatility and our models were projecting that trend into this period and then rise again for the end of the quarter.
While all the headlines show the widening spread in rates in Europe and capital has been buying Germany and selling others, Spain and Italy outlawed shorting their short-term debt because the spreads have a blow-out. But look at the Bunds. They have been unable to make new highs even in the midst of a traditional flight to quality.
So hang tight. This is not over yet and we are getting some very interesting shifts. I have spent all day writing a very important special report because we are facing a major central bank crisis and this is threatening not just the rest of the year, it is threatening the very existence and survival of our global economy. This should go up for sale tomorrow or Monday at the latest. I have written it on Pi Day and will release it on the Ides of March – Caesar, beware!