And so, legions of retail investors, hordes of previously cock-sure newly-minted “money managers”, and scores of popular pundits who swore to you they knew what they were talking about, are left to ponder the stark reality of a market structure-driven nightmare scenario.
Turns out, the whole VIX ETP rebalance risk was a real thing (who knew?!) and not only that, the knock-on effect for the systematic/programmatic crowd was real too. Go figure. Who could have predicted that? I mean, besides every goddamn derivatives strategist on Wall Street.