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Another VIX Dealer Convexity Event: What Really Happened On Wall Street Tuesday
If you're wondering what, precisely, happened to US equities on Tuesday -- where "precisely" means you're interested in the actual mechanics and flows behind a very rough session, and specifically what made a bad situation worse into the close -- you're in luck.
In a rare late-evening update, Nomura's Charlie McElligott delivered an in-depth postmortem on Wall Street's worst day since last month's vol shock.
Although the VIX's outperformance to spot equities was nothing to write home about, th
Thanks as always for sharing.
Thanks for the post, sir.
As you rightly point out, hedging by option sellers is “pro-cyclical” in the sense that it piles on and exacerbates extreme price swings. Selling options makes you money 350 days a year. The remaining 15 can be very nasty.
I’m still wondering who threw the lit match onto this pile of combusibles this morning.