According to GS, VIX made the sharpest 7 day move lower ever, from +40 to sub 25. The structural shift of vol of vol moving higher continues.
The dilemma here is of course; slow narratives, strong seasonality, lowest levels in vol post the March panic but not cheap as vol is still high looking over the longer term "average" (VIX 20 yr mean around 17)…
What about realized vol? Not as low as it feels actually, according to GS 21% 10-day realized vol is 87th percentile vs the last ten years.
TME's most recent logic is to start looking at long premium strategies, either as replacement strategies or outright hedges.
If you believe all the bullish strategists and their notes over the past week, upside exposure across indexes, especially outside US, look rather cheap.
There is still a lot of headline risk going forward, so from a vol trading view, we would start looking at long gamma trades shortly.