McElligott Returns, Talks Tail Risks, Vol ‘Phase Shift’

Previously smooth Sharpes on short-vol trades are "getting chopped up" as traders see fatter tail risks, Nomura's Charlie McElligott said Monday, upon returning from a two-week vacation which, on his account, took him "from Japan to Ohio." I've never been. To Japan. Now that I think about it, I've never been to Ohio either. Mainstream financial media ran a couple of pieces late last week documenting a "perk up" (if you will) in volatility amid some evidence of renewed interest in downside hedg