Fear Running High Into the Long Weekend

Market sentiment is dominated by fear and demand for downside protection as the VVIX-VIX gap stays wide and NDX skew approaches panic levels. Systemic selling from CTAs remains a major risk if the S&P 500 fails to hold 6,723.

Key Takeaways

• 1.Market fear remains elevated with VVIX at 113 and a wide VVIX-VIX gap.
• 2.Downside skew for both S&P 500 and NDX is aggressively bid, reflecting high demand for protection against tech downside.
• 3.Systematic selling risk is high; GS estimates CTAs could sell up to $2bn in equities if the S&P 500 breaks 6,723.

Table of Contents

• Fearful
• Fear still running high
• That downside bid
• NDX as well
• Still stressed
• Downside convexity

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