Unwinding of VIX Trade Caused ‘Massive Freakout,’ Nomura Says
- Facilitators of Friday VIX trade suddenly had to cover risk
- VVIX index spiked in an abnormal move relative to the S&P 500
This article is for subscribers only.
While equity volatility is rising once again, this spike is different from the one a month ago.
It all started with a large Cboe Volatility Index options trade put on last week, and the impact of its hedging was another proof that the space gets “broken” when dealers become vulnerable to sharp moves in the gauge, according to Charlie McElligott, the managing director of cross-asset strategy at Nomura Securities International.