Vix curve gave warning of February volatility spike

Research by NYU’s Marco Avellaneda offers insight into short-vol strategy

Marco Avellaneda
Marco Avellaneda: “The smart money got out before the spike, because they saw the curve was flattening”

The cause of February’s sudden spike in US equity volatility is still being debated, but long before the release of the January employment report that may have triggered it, there were warning signs. In a paper due to be published this month in the Journal of Investment Strategies, Marco Avellaneda, professor of mathematics at New York University, examines the market for exchange-traded volatility.

The article, written with Andrew Papanicolaou of NYU’s finance and risk engineering department,

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