“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 harrowing days of March 2020.

The figure also shows the two-session rolling increase to capture Thursday’s uptick, which was meaningful in its own right.

As McElligott alluded to, vol-of-vol went crazy. The single-session jump on the VVIX was something like 30vols. We haven’t seen a 140 VVIX since February of 2022.

Charlie called the spike, shown below, “absolutely bonkers.”

Equities vol-of-vol is now “as stressed as it’s been since the Fed tightening cycle began,” McElligott wrote, describing “COVID-type moves in the overall vol complex.”

Needless to say, some of this is indicative of a convexity spiral. The sharp jump in implied surely pushed the VIX through dealers’ short strikes on sold-calls, forcing them to grab at skew and vol-of-vol, thereby amplifying the move.

McElligott underscored that point, documenting an “unhinged” market where index put skew was “crazy bid” and dealers were compelled to “compete with investors grabbing into downside and tails in a product with de minimis ‘short crash’ tolerance when everybody’s in the bunker.”