Yesterday, as we noted, saw VIX and stocks rise together (an unusual event). Today that trend is even more pronounced and the market action is very 'odd' post-ECB. Lot of chatter on huge option gamma forcing market-makers to chase moves...

As we asked previously, so, who’s right – stocks or volatility? Well, from a glance at the chart, there are a handful of glaring occurrences at cycle highs (e.g., August 1987, July 1990, March 2000). However, let’s look at the aggregate performance of the S&P 500 and the VIX following these 22 prior occurrences.