In an investment outlook on Thursday, he said that things are about to get so bad that we're all going to need a Xanax.

He followed that up with a spot on Bloomberg TV with Tom Keene, where he likened the current situation to the situation in "The Big Short."

Here is Gross:

The global economy is still highly levered and central banks are artificially elevating prices and keeping interest rates low.

Let me tell you this story from last night. My wife and I saw "The Big Short." And afterwards, she said she understood exactly what went on in terms of subprimes and homeowners not being able to pay their bills and how it all collapsed.