zerohedge.com / by Tyler Durden / Aug 10, 2017
With the VIX soaring, from single digits yesterday to over 15, risk is suddenly breaking out above the crucial Kolanovic redline level…
And Nasdaq is tumbling.
… it is worth reminding readers just how coiled the short-vol sector is, something we described two weeks ago in “If The VIX Goes Bananas” This Is What It Will Look Like” and in which a Morgan Stanley trader detailed how a devastating short vol unwind might develop:
A violent rise in volatility could be driven by just a 3% to 4% one-day S&P 500 selloff. Right now the risk is greatest in the VIX complex, and demand for VIX futures from three main sources could result in 100,000 contracts ($100mm vega) to buy in a down 3.5% SPX move. For context VIX futures ADV over the last year is 230,000 (although has risen to as high as 700,000 in big selloffs).
The post As VIX Explodes, A Painful Warning: The Vega Of VIX ETFs Has Never Been Higher appeared first on Silver For The People.