Markets quickly entered dangerous conditions this year. But as these transitions happen, our key levels show you where the boundaries of daily safety are, and we document this status daily. This can help to exit or avoid exposure very early such as when the VT broke before that big crash on December 18.
Out of our key levels, our most important risk boundary is the VT (Volatility Trigger™). This is where volatility will get dangerously high for investors, as well as dangerous for large portfolios and many types of credit spreads. Falling beneath the VT means that negative gamma is strong enough to start causing chain reactions where prices can slide easier. Our Combo model here shows just how deeply SPX is in negative market gamma territory:
