Buckle up.

That, in a nutshell, was the message on Tuesday from Nomura’s Charlie McElligott, who pointed to — and get ready to chuckle — vol-of-vol-of-vol, in cautioning market participants that “more outsized moves” in equities are likely “in light of real uncertainty” around the future of AI compute financing and the read-across of a slower data center buildout for the US economy.

Before you ask, yes, “vol-of-vol-of-vol” is a real thing. Or at least it can be. From a math perspective, it’s pretty simple: You just run a trailing realized calculation on the VVIX.

Charlie credited his “friend” Dean Curnutt (who used to be my “friend” too, but who I haven’t corresponded with in years, so shout out to Dean) for flagging record highs on that metric.

There’s the chart, with some annotations for context. As Charlie exclaimed, 10- and 20-day trailing realized on VVIX is now higher than it was during COVID, Liberation Day and “even Volmageddon itself!”

If VVIX is a proxy for tail hedge demand, then realized volatility of VVIX measures how violently the urgency to buy that protection ebbs and flows. Or something. Charlie’s got the “something” covered.

“As I’ve often said, I generically equate VVIX to being a proxy of demand for wings, which after last week was telling us that there was a panicked convexity grab into what looked like a market repricing the macro and volatility regime in short order,” he wrote.

The upshot: The muscle memory (the Pavlovian response function) still says you sell “rich” vol on any rip, just like you buy “cheap” stocks on any dip. But, McElligott warned, “that doesn’t mean we can’t keep chopping you up as we slip into a wider distribution of outcomes.”