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What’s Next For The VIX? RBC Explains

Yesterday, as the VIX was setting up for one of its biggest one day jumps in history, we reminded readers just how massive the short-vol overhang was courtesy of the following chart from JPMorgan showing that the net Vega on VIX-related ETFs was at an all time high, suggesting that the risk of a vol-buying feedback loop was significant, because as VIX rose and markets fell, it would prompt more vol-shorters to cover, selling more risk assets in the process, leading to an even higher VIX, and so on.

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