SPX volatility for 30 days out to 1 year is starting back to show stress as it did in November. Hindsight shows and given the persistence of volatility and its auto-regressiveheteroeskedastic nature (hah!), which is basically saying that what happens in past in vol land tends ot happen going forward and that volatility finds regimes and sticks to them, SPX volatility is starting to invert again showing greater immediate risk and more alarming, showing systemic risk the regime is rising form long dated volatility at sub 40s to just below 45.
We can have no recovery in the end without long dated SPX vol going firmly back through 30.
Also the twin peaks formed in November, which in one blurred vision might make the single peak depicted that volatility always does make if the crisis is over. This is showing the highs in SPX volatility in terms of regime levels and immediate risk are yet to come.
The only good explanation that can be made for this and accommodate an upside SPX move is if the general market risk has moved, being hedged and perhaps form macro point being underweight equity exposure, is that a sharp upside move would cause generally the most loss and damage. The week of the FDR inaugural address ("we have nothing to fear but fear itself") was the record move upwards for the SPX - 22% the day before and immediately after the one week bank holiday FDR declared. Obama repeat? If a very large upwards move in SPX occurs then SPX vol will peak and the single lone peak formation rule for volatility maintained.