Curnutt
cites the relationship between the real federal
funds rate -- the Feds target rate for overnight
lending
between banks, adjusted for inflation -- and the
VIX. During the
past 20 years, the VIX has tracked the movements of
the real fed
funds rate, with a two-year lag. That suggests
volatility will
increase as the Fed ends its low-rate stance, he
says.
These
days, near-zero benchmark Federal Reserve interest
rates are providing investors with cheap financing
while leading
them to risky assets such as equities, fueling the
stock rally
and keeping swings to a minimum. That may change
abruptly once
the Fed reverses course and starts raising rates,
he says.
Curnutt
was introduced to derivatives when he went to work
at Nomura
Holdings Inc. in New York in 1991 as a research
associate after earning a bachelors degree in
economics from
St. Johns
University in Queens, New York.
