Dispersion trade likely over.
Single-stock vol ran from 0 to +2.2 sigmas and is rolling over (+1.2), but stabilizing.
Cross-sector vol matched the high and has given more back (+0.9).
$VIX never showed up, peaked +0.5, now −0.5 and still falling.
The long-dispersion trade (rich single-name / cross-sector vs cheap index) is likely done.
Don’t chase the leftover premium.
Single-stock vol ran from 0 to +2.2 sigmas and is rolling over (+1.2), but stabilizing.
Cross-sector vol matched the high and has given more back (+0.9).
$VIX never showed up, peaked +0.5, now −0.5 and still falling.
The long-dispersion trade (rich single-name / cross-sector vs cheap index) is likely done.
Don’t chase the leftover premium.