VIX of VIX at the 92nd %ile while spot VIX is only at the 62nd. That gap is a good signal—market is pricing a volatility explosion that hasn’t hit yet.

Skew at the 87th %ile. Tail risk is the most expensive part of the vol surface. Not sure people appreciate how asymmetric this setup is. Corn at the 94th %ile, soybeans at the 92nd. Ag complex is screaming. Watch this space if crude vol keeps waking up—Kalshi has WTI >$117 at 8.5%. XLRE at the 100th %ile, LQD at the 0th. Real estate ripping while investment grade credit gets crushed. That divergence doesn’t hold. The issue is the vol of vol. When VVIX leads VIX this hard, the regime is fragile. Any catalyst lands differently here.

Skew at the 87th %ile. Tail risk is the most expensive part of the vol surface. Not sure people appreciate how asymmetric this setup is.