In the 17 trading days since Brexit, VIX has fallen 15 of them plunging from almost 27 immediately after the British vote to 11.4 lows this morning – the lowest since August 2014.
This collapse is the fastest in the 26 year history of VIX.
Leaving the VIX term structure at its 3rd steepest in history (i.e. spot complacency relative to out months)…
The last time this happened, the S&P fell 11% before Bernanke swooped in a J-Hole with QE2.
Charts: Bloomberg
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