When the market peaked over a year ago in May (blue circle), implied (black) and realized (red) volatility were both at one year lows...
This time we are seeing a massive divergence. Volatility peaks when the market is going down, not when it's going up...
Today, we saw selling for the first time since the Brexit vote. However Skynet is doing everything possible to crush implied volatility...
TRIN (red) versus VIX:
Realized volatility continues to tighten the noose on implied volatility which will ultimately follow, on a "non-linear" binary basis aka. "overnight"...
Second derivative volatility (VVIX) is bid, which means the VIX will follow:
We've seen this movie before. Skynet is using every trick in the book to keep the VIX from exploding, because once it does, this third and last rally cycle will be "over"...
VVIX / VIX (red) with VIX (black):
Speaking of implosion, oil is getting monkey hammered again on high volume
3x leveraged oil is now down -35%:
