Post FOMC

Risk:

A lot of correlation. Generally, the greater the number of correlated markets the bigger the moves.

But not much bubbling up in the Lower Frequency models yet (which would point to a multiday event)

Some dislocations in Lower Frequency Volatility Stress

Tests:

US: 09:00 am ct to 15:00 pm ct

Bullish above 159 14/32 (75% of time, +0.75 pts  z 2.36)

ES: 09:00 am ct to 15:00 pm ct

Mixed (results not statistically significant)

—h
Henry Carstens
503-701-5741
carstens@verticalsolutions.com
www.verticalsolutions.com

“Out of sample testing is the peer-review”  — Marcos Lopez de Prado

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