Vol-Selling, Mechanical De-Leveraging And What’s Next For Stocks

The muscle memory that says you sell vol on any meaningful expansion and/or setback for risk assets was in play during Tuesday's fireworks. "We absolutely witnessed that same reflexive vol-selling," Nomura's Charlie McElligott said Wednesday, of the prior session. The figures below show the one-day change in S&P put-selling and VIX call-selling. That was into the stock swoon (catalyzed, of course, by a harrowing day for the US long-end). That probably helped prevent the equity selloff