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

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…