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A JPMorgan quant may have dropped the whole market with report comparing today's risks to 1987

JPMorgan warned its clients to hedge against a market drop because extremely low volatility often precedes a sell-off.

"It is safe to say that volatility has reached all-time lows, and this should give pause to equity managers," quantitative and derivative strategist Marko Kolanovic wrote in a note clients Thursday. "Low volatility would not be a problem if not for strategies that increase leverage when volatility declines. Many of these strategies (option hedging, Volatility targeting, CTAs, Risk Parity, etc.) share similar features with the dynamic 'portfolio insurance' of 1987."

Some traders cited the circulation of Kolanovic's note on trading floors as part of the reason why stocks rolled over midday Thursday.

The CBOE Volatility Index, or VIX, is a key...