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3 Extreme Volatility Charts We are Watching: The Big VIX Short

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Praying for boring

VIX dealers are once again running very big short positions. Give the latest VIX implosion, things could easily turn "dynamic". Nomura's derivatives guru McElligott writes: "The backtest on prior “Asset Manager VIX Net Positioning Puke with VIX at an Extreme Low Absolute Level” shows UX1 / VIX Futs forward returns out 3m / 6m / 12m all notably HIGHER on the median, with high Hit-Rates and lumpy Excess Returns".

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