I’ve been on at some length since “Liberation Day” about the extent to which the spike in realized vol associated with the Trump administration’s efforts to recast 21st century global trade and commerce in the image of 17th century mercantilism, placed a de facto cap on systematic re-leveraging.

If you dial your exposure to equities up and down based on trailing realized volatility and you hit a rough patch defined by a succession of outlier “big move” days (i.e., if the distribution of daily spot outcomes suddenly expands dramatically), it’ll be a while before you can add back the exposure you’ll mechanically shed into the vol expansion.

Why? Because this is a trailing calculation. So, in order for it to recede, the “big move” days have to fall out of the sample, the same way you’d need to get to week five before the mathematical influence of an outlier jump in, say, initial jobless claims would cease to impact the four-week moving average.

Well, good news: We’re nearly a month on from “Liberation Day” (it feels like six years), which means a lot of those “big move” days are set to drop from the one-month lookback.

“I’ve been stating that over the past few weeks, due to the magnitude of the 100%ile-ish trailing realized vol dynamics and various ‘shocks’ in the lookback sample, there was a local cap on upside because there wouldn’t be enough leverage or risk-budget available to chase back,” Nomura’s Charlie McElligott said Thursday. “But as we see trailing rVol catching down to increasingly compressed close-to-close daily changes in spot index, and with a number of massive one-day change market outliers set to drop in the weeks ahead, the recently one-way asymmetric supply of equities for sale from the target vol / vol control universe will now begin turning to a source of potential asymmetric buy demand.”

The figures above, from Charlie’s note, tell the story. The line charts are self-explanatory. As for the tables, the one on the upper-right-hand side shows how many sessions until those “big move” days from April drop. The table on the lower-right shows the projected vol control re-leveraging in equities under different forward-looking scenarios for the distribution of daily spot outcomes.

The key takeaway from the second table is that even in a scenario where the market continues to move around a lot, target vol should be buying.

“Daily SPX moves of ~1.5% per day held constant over the next two weeks would generate ~$30.8 billion of vol control buying alone [while] daily 1% changes would generate even larger buying at $32.7 billion,” McElligott remarked, on the way to marveling at just how asymmetric this really is: Even if the S&P moves by an average of 2.5%, vol control, as a cohort, would still be a buyer out two weeks.

There’s a caveat. Two actually. The first is just that these aren’t the only flows in the market. The second is that we’re assuming no more super-dramatic vol shocks, which is never a safe assumption when… well, you know.