Risk.net

Mega vega

Trading activity in Vix futures hit record levels on August 10 as levered and inverse volatility exchange-traded products scrambled to rebalance their holdings. The S&P 500 index fell 1.5% that day, while the Vix – a measure of expected volatility in the US stock market – leapt from 11.11 to 16.04, a move of more than 44%.

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