Daily $VIX options just hit the highest level since 2018 Volmageddon and yet the house of cards is still standing
Do you know what this means? That when things will be “serious” for real $VIX will fly
The theoretical $VIX level hit in 1987 was 172.79, that’s the ATH (so far) https://t.co/KrJgjr9gp9 pic.twitter.com/i68O8zHTJQ
— JustDario 🏊♂️ (@DarioCpx) August 20, 2024
I believe what happened was a result of HFTs rushing to tail hedge short vol (aka “yield harvesting”) positions. This is why $VIX dumped as fast as it spiked, HFTs had to drop those hedges in a rush to minimise their costs when it was clear the tail event wasn’t materialising yet
— JustDario 🏊♂️ (@DarioCpx) August 20, 2024
VVIX/VIX is now back below the 2018 resistance trendline because $VIX has leveled out. The momentum indicator has also peaked.
A falling VVIX/VIX means $VIX will be rising. https://t.co/HQcXnY22dT pic.twitter.com/7Sh9cKMOF6
— Financelot (@FinanceLancelot) August 19, 2024
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