Goldman Derivs Desk: Why Last Week's Rotational Pain Won't Turn Into A Full-Blown Wipeout

Amidst this week's brutal rotational pain (discussed here, here and here), index vols caught a significant bid this week, unsurprisingly most notably in RTY and NDX. And, as Goldman's derivative sales desk notes, VIX, S&P skew and variance have also gone bid across most of the surface, rebounding from relatively low levels coming into this period. Of note, S&P 1-month vols sit at ~13.5v, in line with recent realized (10-day = 13v).

And speaking of Goldman's derivatives traders, in their latest weekly note, they write that flow wise, they are seeing more demand for protection over the last few days via VIX calls in Aug and Sep as well as SPX and QQQ downside across the curve. At the same time, Russell call buying for right-tail hedges has subsided a bit given the significant pop in vols and view that we’re in later innings of this de-grossing episode and the easy money in Russell upside has already been made.

More notably, after Friday's $2.7 trillion OpEx...