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And why do you think the VX futures spiked? The XIV collapse happened on the largest single day percent change in VIX history. It’s a bit silly to say it was t
by rank0 5y ago
And why do you think the VX futures spiked?
The XIV collapse happened on the largest single day percent change in VIX history. It’s a bit silly to say it was the only the futures but not the literal index they track.
- kolbe 5y agoDo you have any reason to support your insult that it’s ‘a bit silly’? Because those of us who have extensive knowledge of volatility products (I was a specialist in VIX options at the CBOE, the first to make markets in VXX, and one of the largest traders in volatility ETF options over the past decade), believe that the spike in the VIX index was caused by arbitrageurs reacting to a spike in the VIX futures. And VIX futures were simply reacting to the order flow caused by the daily rebalancing of leveraged ETFs. What research have you done to show evidence otherwise?