Here’s The “Not Unthinkable” Nightmare Scenario For Short VIX Strats

Oh, boy. So earlier this week we brought you Goldman's breakdown of the nearly $4 billion VIX ETP industry. We also noted that chances are, a whole lot of people using those vehicles have no idea what they're doing. Because if Goldman's clients are generally clueless (which, judging by the language in the actual note, they are), then that doesn't bode well for the retail crowd. Well, in a testament to the potential impact these products could have in an "adverse" scenario, Deutsche Bank is o

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One thought on “Here’s The “Not Unthinkable” Nightmare Scenario For Short VIX Strats”

But the beta of XIV to the vix isn’t -1, it’s higher, so vix would need to increase 200+% in one day to yield the 80% drop in value of XIV to trigger a redemption. Flawed analysis I believe.