The Last Time This Happened, 'Volmageddon' Struck...

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by Tyler Durden
Thursday, Jun 27, 2024 - 07:45 PM

Yesterday, we detailed the drivers behind the daily destruction of implied (and realized) volatility and, more importantly, noted Nomura's Charlie McElligott's warnings that this market is building the ammunition for a "escalator up, elevator down" regime for stocks and increased 'crashiness' as the skew steepens.

SPX INDEX-level Skew change continues to develop into this nascent “Steeper from Flatter” –regime...which iterates my view that we are transitioning back to a more traditional “grind higher, crash down” forward-state