VIX 2-Day Jump Biggest in 14 Months

Tyler Durden's picture

As we warned here, the compression in realized volatility to the levels we were experiencing early in the week was simply unprecedented for any length of time. Furthermore, the relative compression of equity volatility to credit volatility was a concern - sure enough - two days later, spot VIX has just seen the largest two-day percentage jump since November 2011; and equities are catching down to credit's less exuberant view of the world.

VIX's 2-day percenatage jump is the most in 14 months... and gets close to the gap from post-fiscal cliff...

 

Following our VIX post, the implied vol started to creep up heading into FOMC yesterday, rose quickly after that and exaggerated now by China's concerns...

 

and equity markets are starting to compress the wide divergence from credit...