The nascent rebound in skew is history. It was (mostly) snuffed out early this week.

Between indefatigable (you might say “tyrannical,” depending on your perspective) vol supply and a sustained asymmetry between demand for downside protection (limited interest) versus upside optionality (high appeal) tied to low nets, the flattening resumed.

As noted here on countless occasions over the past two months, almost always in the context of a reminder from Nomura’s Charlie McElligott, steep skew is something of a prerequisite for the selling-begets-selling dynamic that can exacerbate otherwise pedestrian stock swoons.

The “hypothetical skew regime shift dynamic [could’ve] set [a] path towards the market conditions required for a meaningful equities drawdown as dealers are put into a short gamma / short vega position in a spot selloff, which then sees them competing for ‘bid’ liquidity on the way down and acting as a new source of downside accelerant flow,” McElligott said Tuesday.

Note: “Hypothetical.” “Could’ve.” As the figures above show, no dice.

“The ugly truth is that there’s too much money being made by selling puts into a market which is unable to pull back, let alone ‘crash,'” Charlie wrote.

The table speaks for itself: The only options-selling strategy that hasn’t worked is call-selling. (The never-ending melt-up continues to push spot through overwriter short strikes.)

The “pile-on” effect from vol-supply tied to those simple, “can’t-miss” strategies “is an additional reason why the market is struggling to hold any nascent” correction, Charlie went on, adding that “it’s not just systematic VRP selling, but simply ‘long gamma’ / hedges not realizing and being unwound-to-close in a market which refuses to selloff.”