Vol at the index level is a joint function of the vol of the stocks in the index and the correlation among them. It's the incredibly low level of the latter that has been Ozempic for index volatility. "Low correlation each day keeps index vol at bay" Here's a chart that shows it. Assume 35 for the vol of the average stock in the $SPX. With the $VIXEQ at 38, that's a reasonable assumption. Now choose different correlation levels (horizontal) to yield different index vol outcomes (vertical). Actual 3m realized correlation of the stocks in the SPX is (wait for it) 3%. One year is 7.5%. Let's move correl from 7.5% up to 30%. SPX vol essentially doubles, up from roughly 10 to 20. And that assumes no change in average single stock vol. We know, empirically, that stocks become more volatile and more correlated at the same time. A joint shock higher to both will seriously boost realized vol at the index level and take the $VIX much higher in the process.

$SPX up 1.5% and $VIX up on same day... how rare? since 1996, there are 26 days when that occurs. Conditional on the SPX rising by 1.5% or more, the prob that the VIX is up on that day is below 5%. And it almost never happens when the starting point of the VIX is at 15.

the single best quote and lesson coming out of the SALP unwind is from @KrisAbdelmessih ... "never give a 24 year old money" here's the potential footprint today...punting on 50k of far upside calls on NBIS in the FLEX market, paying 90 vol. bought 2.4mln of vega, paid more than 110mln in premium.

Latest podcast features Alec Litowitz, the Founder of Magnetar Capital and now the Founder and CIO of QStar Capital. Alec is a tremendous investor and thinker on markets and the author of "The Adaptability Quotient", a book that details his framework for decision-making under uncertainty. Our conversation covers a lot of ground! Apple Podcast: Spotify: YouTube Video:

you are (lucky enough to be) a top 10 holder of $SNDK ... you can implement a zero cost collar out to Dec'28 and hedge all but 10% of the downside but retain up to 100% of the upside from here. that is, you can buy a put that is 10% out of the money and finance it by selling a call that is double the current stock price. do you do it? this is a theoretical pricing exercise, but it's not going to be that far off. the trade capitalizes on 3 factors, all of which go your way. 1) interest rates and (lack of) dividends 2) the incredibly high level of implied volatility on these options 3) the very small differential between the vol on the put you'd buy versus call you'd sell check out the video I did on this "Cuban's Collar is Jensen's Alpha" to learn more about the economics of zero cost collars