04.21.22 | Parsing Out Time Series in VIX Options After Hawkish Fed Comments

This work attempts to estimate broad market sentiment based on order flows associated with delta hedging … and on volatility forecasts.

Here are the near-term (Apr, May) and intermediate-term (Jun-Aug, Sep-Dec) on $VIX positions executed yesterday.

Conclusion: In the aftermath of hawkish comments by the Fed, traders initiated positions that are bullish volatility between now and summer’s end.