Ever since Brexit, traders - and mostly bears - have been scratching their heads over not only the S&P 500's tremendous rally but also by the market's seeming ability to immediately digest any incremental negative news, both economic and geopolitical, and rebound immediately from a support level at around 2,150.

And while there has been speculation of central bank intervention to prop up the S&P any time it approaches this key level (something which several years ago would be considered ridiculous but now is all too possible), it turns out there is another - perhaps even more unexpected - reason why the market remains "pinned" in its historic trading range of 2,150 to 2,180.

Here is the explanation from JPM's head quant, Marko Kolanovic.

Kolanovic's conclusion:

As this collapse in realized volatility is not a fundamental change in volatility regime, we expect realized volatility to increase (this increase in market volatility is shaping to be a consensus view, as indicated by steep contango of VIX futures). Option exposures that are pressuring volatility should roll-off, and investors should increase leverage and set protection closer to the current market level. This will set the stage for a more rapid increase in volatility. We have seen these switches between extreme low and high volatility that manifest themselves as high volatility of volatility (e.g., note that that the current “once in 10,000 year” market calmness came after a Brexit day move that was “a once in 50,000 year” move for EuroStoxx 50 index).

Whether central banks will respond with even more of the same to this upcoming "increase in volatility", remains to be seen. Looking at today's market action, with 2,150 in the cash index suddenly in jeopardy, we may get the answer very soon.