Nomura’s McElligott Flags ‘Panic’ With VVIX, VIX Spread at High

The cost of hedging against market turbulence is surging, with the Cboe VVIX Index ending Tuesday at its highest since August relative to the VIX.

The VVIX, a measure of Cboe Volatility Index options prices and so-called vol-of-vol, jumped more than 73 points in the past five days. By contrast, the VIX, known as Wall Street’s fear gauge, climbed about 31 points in four days.

“The left-tail crash is pricing fatter and fatter, with equity volatility going full-tilt panic,” Charlie McElligott, managing director of cross-asset strategy at Nomura Securities International Inc., wrote in a note late Tuesday. Implied ...