VIX showing "proper" stress -last week people hated protection, now they "must" buy it...and where do they go...VIX of course
Liquidity is poor if you need to reshuffle big portfolios.
The easiest way to hedge a big book quickly is by putting on protection in VIX.
As we have outlined several times before, VIX tends to get (too) well bid when "real" stress ignites, often taking VIX above "logical" levels compared to more risky spaces such as Emerging markets.
VIX is climbing above EM vol today, VXEEM, just as it did during the Corona crisis....