One Bank Sees Volatility ‘Spilling All Over The Place’

Early last month, the Seth Golden crowd was summarily wiped out on a Monday afternoon when an already nervous market collided head on with the VIX ETP rebalance risk that multiple sellside desks had been warning about for at least a year. Time and again, analysts cautioned that beyond a certain point, levered and inverse VIX ETPs would have to panic-buy VIX futs into a vol. spike, exacerbating the situation and, if it was acute enough, likely leading some of those products to be redeemed. You

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