Matt Amberson, Founder, Option Research and Technology Services
Alpha Exchange
00:00
The Vix Spiraling - A Systemic Risk Problem
G m Game stopped from almost a year ago, i think it was the vix spiral, to a 37 on january 20. It's a remarkable event because it's a stock spiralling higher that became almost a systemic risk problem. L t c m would call up a dealer like a leman, and they'd say, i want to sell five years straddles on the dacks or the s m p, or the n k. And boy, they would sell an awful lot. They say was roughly 80 million dollars a vega,. Very long dated vega at that point in time, but it was all over the phone, one off one counterparty to another,
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