Disrespecting the Tail (guest: Dean Curnutt)
The Market Huddle
00:00
Is the VIX Going Up or Down?
Bank of America's portfolio in 2001 was entirely risk on. It was all short liquidity and short volatility. And I assume that a lot of the fixed income stuff they're probably taking similar positions. What's amazing is that back then they didn't have the concept risk on risk off, right? So if the VIX goes up, you have a pretty good mapping as to what all these other corollary assets are going to do. They're either risk on assets or risk off assets.
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