Friday VIX went from 23.5 to 21.5 during the last 15 minutes…and now at 30, +40% on the day.
Volatility of volatility is huge. We are seeing the same pre Christmas px action in vols as we saw in 2018, almost on the day (chart 2).
Have not seen the curve shift this violently higher in forever. The crowd has been in “hate short term protection” mode for a long time. Today’s “stress” is shifting the entire curve higher, especially the short tend of it.
Buy protection when you can, not when you must continues to hold…
vixcentral
Just a friendly reminder that we are entering this sell-off with a tactical backdrop of one of the most frothy exuberant sentiments ever. Here measured as the 20day moving average of the number of calls traded per day in the US market over the past 10yrs. It was a powerful force to propel things higher, until it is not…
Bloomberg
As we have been coming back to over past weeks, the 1 month 25 delta risk reversal has shown a constant relatively richness of calls vs puts.
This is definitely changing today…
Spotgamma
Nobody needed Russell downside during the melt up. Note how extreme skew traded, until today…
GS
As per usual, people tend to buy volatility and protection in panic, instead of buying it when they can.
Virus mutation in Christmas thin trading is magnifying all moves, but what moves are you pricing when you start buying protection in panic.
Chart shows the vol structure of Eurostoxx 50, massive shift higher, especially the short end of the curve.
On Friday people priced approx 1% daily moves for the 1 month maturity. Today they are pricing it at 1.5% daily moves for the coming month.
Sure, this moves today, but consider how much it is going to move the coming month before grabbing protection with both hands.
TME
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