Options Markets expected risk sentiment to deteriorate further - IVs were elevated. But lack of RV follow through caused sharp markdowns, especially for short-dated contracts.
Increased Vol-of-vol has triggered multiple switches in Vol Regime Model - currently in "High & Down" vol-state. Multiple state-switches indicative of unfolding structural changes in Vol Markets.
Smile looking overly compressed in Monthly & Quarterly contracts as OTM Strangles trade close to par with ATMs.
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