Thread by @WizOfOps

The whole options market is now different. Puts and calls in $SPX are sold by customers. While we are in a strongly positive vanna zone (meaning we are in the net sold calls zone), any slight IV positive movement will cause selling. (IV up, delta up). How strong is it? #volland

https://twitter.com/gengel23/status/1542952047024250880

We only have data over the past year, but it is in the 96th percentile. So even slight movements in IV are going to have an outsized impact. How is that possible? we are seeing ultra-lows in skew. Puts and calls are being sold to death, trying to capture that premium.

Prove it? Here's the percentiles in $VIX. Look at allllll that positive vega exposure in $VIX. There is also a ton of gamma exposure as well. That means as $VVIX goes down, $VIX sellers win. However, it also means if $VVIX takes off, $VIX takes off, creating strong moves.

I know $VVIX was this low a lot in 2018, the $VIX was under 15 back then. Spot vol in the mid-high 20s is a different animal with $VIX this low. $VVIX should probably explode to the upside at the slightest hint of news, and can cause a massive downturn. This is new territory.