The REAL bubble is the Vix, argues JPMorgan's Marko Kolanovic, pointing out a stubbornly high spread between the Vix and actual, realised volatility.
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Can’t really compare VIX to realized vol (Kolanovic knows this ofc). The VIX is high because the skew premium and convexity premium are high ie investors think you will get absolutely murdered if you sell vol and there is a big correction.https://twitter.com/macrocephalopod/status/1357838424699531269 …
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Agree straight Vix to RV is a sub-optimal way into his argument (and he oddly uses 2w RV to compare to Vix?). And there might be a self-serving element to it. But the core argument - vol-selling attractive now - seems sound?
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I don’t actually know if selling vol is particularly attractive right now — I can certainly imagine many ways it could go horribly wrong — but agreed, my point is that *this particular argument* for why you should do it is disingenuous, not that you shouldn’t do it.
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