Struck today by the high level of the Jan, Feb VIX futures. Sometimes the vol market gets lazy, but then resets all at once. I'm thinking of Dec2011-Jan2012 when all the fun we had in 2011 persisted in the VIX termstructure all the way to year end

VIX was 25-30 in early Dec 2011, and there was such a big hangover from all the moves we had seen. It collapsed to 17 in 6 weeks. The vol crush in US single names was immense. I was running an exo book then, I still have the scars

There was a great poll on here a while back from @Ksidiii asking what the VIX floor in 2021 would be. Many of you said >20. Decent chance you'll be wrong before 2021 starts never mind ends. https://twitter.com/Ksidiii/status/1326159791824261121?s=20

You must be sell-side research guys, their annual predictions for 20XX are frequently blown out by Jan 1st too.

Also a more generic poll by @TonyNashNerd https://twitter.com/TonyNashNerd/status/1333409483264040960?s=20

Many are fighting the last war. Virus, election, blah blah. If the market decides those are 2020 stories then we will see a repeat of 2012.

@jam_croissant has been consistent calling for vol compression, and he's been right. The lazy long protection position is slow to close - you're OK to underperform because you're 'protected' with 30-d puts (which are now 15-d ).

Maybe it feels like a collective position, run by risk management. IDK what it is, but something often makes these type of positions slow to bleed away. And then suddenly everyone realizes they can't justify rolling their Dec puts into 2021.

So check the Jan VIX 18 put or 17-19 spread or something like that. Invest a bit.

This type of position also works as cheap protection for a long vega book. (h/t @pat_hennessy).

I'd still own VXZ (or SPX Dec21 vol if you can) as part of a portfolio. (see pinned tweet)

Postscript - last time I wrote about VIX puts I was looking at 2x1s. It worked, b wouldn't do that this time. If 2012 happens you don't want to be short vol convexity in a real vol smash.