Don’t cry over spilt milk, but you may want to rethink the implications of the spilt vol at the start of February.
Time and again, analysts cautioned that beyond a certain point, levered and inverse VIX ETPs would have to panic-buy VIX futs into a vol. spike, exacerbating the situation and, if it was acute enough, likely leading some of those products to be redeemed.
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Over and over, the punditry dismissed those concerns… right up until that Tuesday morning and suddenly all of those same people were bemoaning the injustice of the whole thing rather than simply stating the obvious which was this: “oops, turns out that VIX ETP rebalance risk was a real thing after all.”