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Pavlov Kills The VIX Spike
"You simply have to short vol spikes in unemotional, mechanical fashion."
That's the muscle memory, Nomura's Charlie McElligott reiterated on Wednesday, while editorializing around the post-CPI behavior of the VIX ahead of expiration.
Intraday on Tuesday, markets were treated to a what Charlie described as a dealer hedging "panic." As the VIX accelerated up to and through 17, a large short call strike, a frantic rush for hedges ensued. Long story short (no puns intended) a lot of optionality w
Thanks Dear Leader. It explains it all.