The Great Vol Crash: Fear Has Been Completely Wiped Out

The great vol crash

Vol has been smoked across the board. Realized is pinned, skew has collapsed and vol-of-vol is sitting near historic lows, while tech and semis implieds have undergone a massive reset.

With Jackson Hole out of the way and optionality suddenly cheap again, this is starting to look less like a market for selling vol and more like one for owning convexity.