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发帖数: 2677 | 1 A one-day Standard & Poor’s 500 correction of 3% to 4% could force some
funds that short futures on the index, such as the ProShares Short VIX Short
-term Future s exchange-traded fund (ticker: SVXY) and the VelocityShares
Daily Inverse VIX ST ETN (XIV), to cover their positions. That could make
the VIX skyrocket.
If the weighted-average of 30-day VIX futures sharply jumped—say by 80% in
one day—it would, in turn, trigger an “acceleration event” that would
force more funds to buy back short VIX futures contracts. Some VIX funds
could face margin calls. And a chain reaction would likely explode across
the volatility spectrum and ultimately the stock market, pushing down share
prices and boosting volatility further.
https://www.barrons.com/articles/dangerous-game-shorting-the-vix-1501306194 |
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