As the cost of insuring equity market risk (VIX) spiked higher this morning (having been broken for minutes after the open), catching up to the cost of insuring credit market risk (CDX HY) which has been screaming dead canaries for weeks, a funny thing happened to the volatility of volatility. VVIX (the estimate of the uncertainty of the cost of insuring equity risk) exploded to a level never seen before - as various ETF/hedging strategies imploded - a level twice as high as during the Lehman crisis... Finally, if credit, equity, or vol insurance is too expensive, there are always other ways to 'protect' yourself... Can't be too careful, make sure you're packing protection. pic.twitter.com/QyGw5Zoeqa — Quoth the Raven (@QuoththeRavenSA) https://twitter.com/QuoththeRavenSA/status/635878612290269184!function(d,s,id){var js,fjs=d.getElementsByTagName(s)[0],p=/^http:/.test(d.location)?'http':'https';if(!d.getElementById(id)){js=d.createElement(s);js.id=id;js.src=p+"://platform.twitter.com/widgets.js";fjs.parentNode.insertBefore(js,fjs);}}(document,"script","twitter-wjs");