Contagion alert - Thursday payroll will be very meaningful for short dated vol - closing half +21%

Contagion alert - Thursday payroll will be very meaningful for short dated vol -  closing half  +21%

As the US markets have calmed down, China and Europe markets are showing extreme stress from both variance swaps and short term funding stress.

Below are graphs of Variance Spreads vs SPX


In the US, Var Swaps have calmed down a touch with the recent small rally, however Fridays payroll numbers if weak could bring on a large sell off

Being nimble in this market has proved to be the best strategy, currently our short vol trade has performed well, + 21%, we will look to take off half before thursday.