Vol Crush Loading

Everybody likes a good forward on an esoteric backtest. For what it's worth, at least some market participants are playing for the by-now well-socialized, post-election vol bleeder in the US. Headed into Tuesday's vote, VIX downside was bid in some corners, indicative of folks coming around to the election "seasonal" (that's a bit of a misnomer, but you get the idea) illustrated in the figures below, from Nomura's Charlie McElligott. I highlighted those charts a few days back. McElligott up