GS outlines two major reasons for ths vol premium;
1, contested elections
2, macro driven....recovery, vaccine, surge in new cases etc
Do recall that we are seeing elevated vols in equities as well with the VIX term structure pricing rather elevated stress post the elections.
As TME pointed out last week, the crowd had placed their bets in declining volatility pre this latest hiccup (heavy VIX put buying), which has resulted in even more p/l frustration. Our latest logic on VIX ishere.