Why The VIX Space Is ‘Chronically Stressed’

There's tension in the air across markets. Can you feel it? I've talked at some length recently about the dynamics at play in the VIX space which, as Nomura's Charlie McElligott put it, "remain[s] stuck in a state of almost chronic stress, like a slow-moving car accident." Have a look at vol-of-vol, which at least had the decency to recede a bit on Monday after hitting the highest since the post-December FOMC tremor. That, McElligott wrote, is "the clearest indication that 'all is not well.