Despite VIX being higher than Friday's close for now, this first week of Sept (post Labor Day holiday) is likely lead to lower index vols, supporting equities into 9/11.
Nomura's Charlie McElligott confirms that the Vol space has cooled-off as noted these past two weeks, with Dealers getting back a metric ton of their prior “Short Gamma” and are now “LONG Gamma vs Spot,” which has rallied as $Delta blows back higher (Calls pick-up, Puts roast) on an implied MASSIVE +$627B positive $Delta change over the past two weeks...
