On Thursday, we noted that vol. of vol. was set to close at its highest level since 2015.
This has been interesting to watch this year as the underlying’s tendency to “mean revert” rapidly on any spike (part and parcel of the BTFD mentality) has kept vol. of vol. elevated.
“The frequent occurrence of sharp, short-lived shocks justifies a high vol of vol,” BofAML wrote early last month, when discussing the disconnect between VVIX and credit spreads.
Well sure enough, VVIX hit its highest level since the August, 2015 yuan deval on Thursday:
Oh, and it’s also worth noting that VVIX/VIX (i.e. vol. of vol. relative to the VIX) hit its highest level on record earlier this week:
As Bloomberg’s Kristine Aquino put it earlier this week, “surging vol of vol signals something’s amiss.”
There’s no Haiku for this yet, but we’ll keep you posted.