Alpha Exchange cover image

Nitin Saksena, Head of US Equity Derivative Research, BofA Securities

Alpha Exchange

CHAPTER

The Zero Day Space and Volmageddon 2.0

Dean Obeidallah: There's a lot of speculation that the zero day space is going to create volmageddon 2.0 which was back in February 2018 when the inverse VIX products violently unwound and they spilled over into underlying equity market. Some people think could maybe drive equity markets down 5 to 20 percent maybe 30 percent now we spent last few months looking very hard at high frequency intraday data on S&P options, he says. We don't see the evidence that would support the idea that end users are massively and recklessly short zero day options  in a way that could generate this much market impact at least not yet according to him.

00:00
Transcript
Play full episode

Remember Everything You Learn from Podcasts

Save insights instantly, chat with episodes, and build lasting knowledge - all powered by AI.
App store bannerPlay store banner