Less than a month ago, Goldman Sachs presciently published a note research report "VIX ETPs are now net short vega - should we worry"....... which as the title suggested showed that the net position of VIX ETPs has become short over the past few weeks, for only the second time in their eight year history.

This odd finding - namely that the VIX ETPs had shifted their traditional vol bias from long to short - prompted the Goldman strategist to ask glibly "Should we worry?"

Less than a month later we have the answer: Yes, Goldman, you should worry, because the historic short squeeze that took place overnight in VIX, which sent it over 100% higher - the biggest jump in history - was precisely a result of this Goldman observation, namely that ETPs were now aggressively shorting vol.

Here is what happened - as Morgan Stanley explained overnight - following this first ever shift by ETPs to net short vega, a move that in retrospect will prove to be suicidal for the entire industry, which now faces one giant termination event.