Flirting with Models cover image

Liquidity Cascades

Flirting with Models

00:00

Arbitrage Constraints in the S an P 500 Ultimate Make or Break Markets

The vix is derived from the s m p 500 option chain, creating an arbitrage constraint between vix futures and that option chain. In october 19 87, markets plummeted due to the program selling of portfolio insurance strategies. These strategies were designed to sell equity market futures to help buffer against losses as markets declined. As a crowded trade, under the right conditions, it could spiral out a control, creating relentless selling pressure. But if the price was wrong, why did nobody step in to correct it?

Transcript
Play full episode

The AI-powered Podcast Player

Save insights by tapping your headphones, chat with episodes, discover the best highlights - and more!
App store bannerPlay store banner
Get the app