Kind of funny that if the VIX remained elevated because of YOLO buying, then a slowing of the YOLO trade will cause the VIX to fall, and vol sensitive systematic strategies will ramp up exposures in reaction.
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Are you saying that systematic strategies size their positions based on VIX, rather than an estimate of recent realised vol?
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I’m saying the DB positioning piece posits elevated volatility has kept systematic exposures very low and it was a simple joke to connect recently elevated vol despite ATHs to YOLO call buying
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Sure, you can’t use VIX spot because of calendar effects ... But what about using VIX futures as they are essentially forward-looking, whereas your realised/realized vol model may not be as good as the market’s and is essentially backward-looking?
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