Fears persist about forced unwind from ‘implicit’ short vol funds

February sell-off could presage a bigger slide if correlations change, buy-siders say

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Short volatility products dominated the headlines after the Vix index spiked in February and the VelocityShares Daily Inverse VIX Short-Term ETN (XIV), the most prominent bank-backed exchange-traded note that bet on implied volatility staying low was wiped out.

A little less prominent in the headlines, but equally concerning to some market participants, were the fortunes of strategies that can be described as implicitly short volatility: systematic strategies that use realised or implied

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