VIX is trading back above 20%, up over 4 vols this morning as its jump is the largest in over 8 months. This instant response to the ultra complacency we discussed last week [5], as 'they' take their totally dislocated foot off the neck of implied vol, has shifted the short-term volatility expectation from its calmest in almost four months to its most terrified in a month. Perhaps, just perhaps, the talking-heads who espouse this 'fear' index will finally realize its contemporaneous nature and treat it with the disdain it deserves. For now, it appears expectations of market turbulence - now that OPEX is out of the way - are reverting to more realistic levels of un-complacency, back in line with stocks and credit.
VIX jumps over 25% (over 4 vols) in a pattern of risk-flare-to-complacency-to-panic that we have seen before...
[6]
VIX falls to Equity and Credit's reality...
[7]