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Spread between Realized and Implied Volatility is Astronomical

The VIX ended up BIG today settling above 21%.  However I think the real story is not just how high VIX is, but how NOT high volatility has been.  The spread is through the roof and I am not sure the lat time I saw something like this.  It looks like the fiscal cliff at the end of 2013 on steroids


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Vol Likely to be Rebid

Today, we saw the market crush VIX...for a few hours.  Then,  SPX traders put a nice chunk of premiums right back into SPX options.  Adjusted for the weekend, despite the shift in Brexit polling, VIX was down less than 2 points (a little over 1 raw). 


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SPX About to Crack

One common understanding about vol and the S&P 500 is that tops in vol often lead bottoms in SPX.  Well if today was a top in vol, which it might not have been, then we still probably have not seen the bottom in SPX.  Take a look at this chart of VVIX returns and SPX returns.  What I want you to notice is how well the two track eachother with VVIX being a slight leading indicator.  If we saw the top in VVIX today (possible) then there may be a day or two of SPX drop in front of us more.  

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