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Vol Complex Goes ‘Bonkers’ Into Stock Plunge
"Vol of vol never lies," Nomura's Charlie McElligott said Friday, as the VIX squeezed higher in alarming fashion alongside a pretty steep downdraft in spot equities.
The figure below uses Friday's high print for dramatic effect. It's dramatic regardless, but since we're indulging in eye candy, we may as well make it as sweet as possible.
Friday's post-payrolls fireworks were spectacular. The single-session jump in the VIX -- again using the high print -- was among the largest since the harrowi
Thank you.
I’m looking forward to McElligot’s take after he close i’d wondered if some models that work on weekly signals might sell into the close on Friday. But it was remarkably calm.
Perhaps they’ve already sold enough?
So maybe things in algo-land will calm down and vol sellers will return next week to lift stocks back off of the floor. Unless we get to enjoy another weekend surprise from the Middle East.