The (you know, that’s that thing that under the current system isn’t allowed to trade in double-digits under any circumstances), has just spiked to a 15-handle – and beyond:
Given the low starting point of the VIX, these strategies are at risk of catastrophic losses. For some strategies, this would happen if the VIX increases from ~10 to only ~20 (not far from the historical average level for VIX). While historically such an increase never happened, we think that this time may be different and sudden increases...
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