Mid-Weekly: Vol Selling Seen, Brexit Protection Eyed

Volatility-of-volatility went from 80 mid-last week to a top of over 123 on Tuesday. In the immortal words of Ron Burgundy, “Well, that escalated quickly.” A poll that put the leave vote ahead in the upcoming U.K. referendum sparked the repricing of risk this week, but has left many market pundits scratching their heads and asking exactly what took the market so long to catch up? We’ve tried to keep abreast of all the latest trends as the market has progressed, from vol sellers to VIX ratio put spreads designed to collect premium while protecting downside. Meanwhile, long vol guys are cheering the higher VIX, but warn realized will need to catch up (the S&P 500 has declined about 2%) if the VIX is to sustain the higher levels. And for that, the referendum will hold all the answers.