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VIX ETF Short Squeezes For 6th Day In A Row, Long-Dated Vol Above Monday's Peak

While all eyes are on the front-end of the VIX term structure, today's volatility term structure in the out-dates is now higher than they were at the close on Monday at "peak crisis." VXX - the VIX ETF - is still surging, as the massive short position continues to get squeezed amid the ongoing backwardation in VIX...

 

6th day of short squeeze in a row... It sems picking up pennies in front of the steam roller does have consequences...

 

 

And VIX is now higher than in it was during Monday's crisis in the out-months...

 

This is the longest period of sustained bakcwardation since 2011...

 

and The skew (cost of downside tail risk vs 'normal' risk) is extreme...

 

Chart: BBG

 

Finally, a 1 year time series of the implied vol surface: 

h/t @noalpha_allbeta