To understand the scale of forward fear in the market, one has to only look at the global 12 variance swap levels. Almost all, except Japan and Korea hit 52week highs.
As noted in our closing trade post, on the margin, a need exists for vol and has spilled over into curve. This clearly is setting up for a great vol shorting opportunity, as these levels have not been seen since the 2008 financial crisis. However, we are not convinced this is the right moment. We are going to wait to sell on the way down. The edge in the trade is clear.