Loading ...and likely set to repeat that achievement today ahead of AAPL’s earnings, the RBC analyst does report some notable developments across the vol space, namely that once again everyone is piling into short inverse VIX ETFs, everyone perhaps also including pension funds.
Of particular note, McElligott writes (see below fore details) that:
“short vol’ isn’t just an institutional trade anymore, it’s massive with retail as evidenced by the shares outstanding in the various VIX ETNs. FT highlighted over the weekend that ‘short interest’ in VXX has actually outpaced creation of new shares in VXX this years, which is indicative of this growing retail demand for the ‘strategy.’ Currently per my stock loan team, VXX short utilization spiked to an insane 95% yesterday (% of the ‘free shares’ being used to short).”