Volatility trap: how gamma roused a market monster

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

If US equity market volatility stirred on February 2 – wiping 2.2% from the value of the S&P 500 in a drowsy, unseeing twitch – it woke after the weekend, with a sore head. As trading drew to a close on Monday, February 5, a garden-variety sell-off quickly became something wilder.

Between 3.02pm and 3.17pm New York time on February 5, the S&P 500 fell 47 points and then immediately bounced back – a 3.58% round trip in the space of 15 minutes – while the Vix index of volatility derived from S&P

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]