Fleeting Vol Spike Drove $45 Billion In Mechanical Selling

Things were suddenly interesting. And then, just as suddenly, they weren't again. The fleeting selloff which found US equities "tumbling" (note the scare quotes) ~5% from records last month naturally saw trailing vol pulled higher. As the figure below shows, one-month realized jumped to ~15, 90%ile on a one-year lookback. With the equity swoon apparently over, corporates set to exit buyback blackouts and vol supply once again outstripping demand for downside hedges, it's quite likely that t