Discussing 0DTE, CTAs, VIX: All Options Considered
FICC Focus
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How Did the Market Perform in 2022?
The VIX was nearly up 20 handles a year to date. A lot of that was driven by the call side. Next year was particularly challenging as you have a choice of moving from equity into cash or buying downside hedges. People had given up on it. They just had looked at the VIX and the experience of owning VIX calls in 2022 and said, you know what, I just don't want to do that anymore.
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