Vanna and the Big Put: unusual suspects in a market mystery

Risk 0222 Lead story credit: Stephen Lee, NB illustration — Stephen Lee, nbillustration.co.uk

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The stock market sell-off on January 24 materialised and then vanished like a crime without trace.

That morning, the S&P 500 took a bloodying at the hands of investors, plunging nearly 4%. By the afternoon, the sellers had vanished. The index ended the day up a third of a per cent. The Nasdaq saw an even more extreme version of this turnabout, falling close to 5% by midday, then recovering so fast that it finished 63 basis points higher than where it started.

Investors reviewing their

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