The “Trump Collar” has both simultaneously contributed to the recent compression in realized Vol (and beaucoup ATM Vol supply), and yet, as Nomura cross asset stratgeist Charlie McElligott notes, it is also building the risk for “Wingier” outcomes within Equities, as the assumptions of the Collar therein create lazy conditioning with regard to “Trump selling Upside Call / Trump Activating Downside Put” which can then get stopped-through with a modification in the expected or anticipated behavior...
...in this case, potential for “TACO on the way UP” i.e. yesterday’s *Trump Gives US Negotiators Room to Life Export Controls on China – WSJ*
SPX 20 DAY RVOL A 12 HANDLE, 10 DAY RVOL @ 8!:
