The epic volatility reset

The crash in fear

Regular readers of TME know that you should not buy protection when you need it, but buy it when you can. As we pointed out on March 9 in our thematic email (premium subs only, sign up here) "The VIX guy is back - time to get busy", fear had gotten ahead of itself. We wrote; " To summarize: he sees all commodities surging further, the geopolitical situation spiraling out of control, Europe basically going back to stone age etc. His biggest take is that VIX and the European version, V2X, are going to the moon. We strongly disagree. It is time for a thread on fear..." Since then vols have crashed and the short gamma environment has changed into long gamma environment where dealers become suppressors of volatility. Equity vols are down, but remain slightly elevated. Let's see if we can get some more "juice" to the downside in vols before looking at long vol opportunities again. Never forget, volatility is mean reverting...