When someone posts that the VIX is broken it’s usually a rookie, NOT Charlie McElligott
Odd indeed
‘"vol supply/demand dynamics are completely out of wack”
He is getting more and more pedantic by the day: … “daisy-chain” of crash demand … drives the outrageous skew and put skew extremes … to even more extreme levels (and at risk of “self fulfilling”), all of which creates a vortex of “short gamma” accelerant flow potential lower, on whatever macro shock catalyst which will next drive spot down—and with all sorts of downside catalysts on the “wall of worry” out there in coming months between Delta Variant closure potentials, Fed “Tapering,” “inflation overshoot vs slowing growth” etc which then drives client downside demand...”
[Pasta here: I don’t see SKEW more extreme than, say, late June. The 4,400 strike has been his “anchor” strike for a while (actually 4370 on stockcharts is my hard stop, but any trader can see that). I think McElligott is secretly bullish -which is what the Volatility charts say - but hedging for a possible NFP “catalyst” tomorrow.
https://www.zerohedge.com/markets/volat ... to+zero%29