A couple of days ago, I noted that the reset higher in vol surely meant de-leveraging from vol-control cohorts.

It was hardly a groundbreaking suggestion. I wasn’t saying anything especially insightful. If you dial exposure up and down based on volatility and volatility spikes, you’re dialing it back — by definition. It’s almost tautological.

I don’t want to overburden readers’ synapses on a sleepy Friday, so I’ll make this short. The figure below shows the effect of the recent spot distribution expansion on trailing realized.

As you can see, rVol picked up pretty dramatically in recent sessions amid a tumultuous two weeks for the US market leadership, violent rotations and other manifestations of unwelcome, mid-summer drama. On a one-year lookback, we’re 87%ile now on one-month trailing realized.

Any guesses as to what that might’ve meant for vol-control? If you read the article linked here at the outset you have some guesses. It meant a pretty substantial de-allocation flow from those cohorts.

In a Friday note, Nomura’s Charlie McElligott put the selling at “a whopping estimated -$56.5 billion over the past two days.” That’s illustrated by the figure on the left, below.

Again: That was the direct result of the rVol reset illustrated by the blue in the first figure above. And if you’re wondering, that two-day notional de-risking from vol-control in equities was a 0.8%ile event, according to McElligott.

The table to the right of Charlie’s vol control chart shows the estimated notional selling in global equities from CTA trend: A sizable $21 billion over two weeks.

“The good news,” McElligott said Friday, “is that these mechanical risk-management unwind flows” looked closer to completion by the weekend, leaving positioning cleaner into next week’s huge slate of macro catalysts and mega-cap earnings.