Vix vulnerable to retail short squeeze, analysts warn
Volatility products could see more wild swings as dearth of vol sellers exacerbates spikes
After last month’s bizarre rally in GameStop, analysts are fretting about a highly unusual move in the volatility markets that could foreshadow further market shocks.
On January 27, when GameStop shares more than doubled to close at nearly $348, the Vix index of S&P 500 options volatility jumped nearly 75% after opening at 23.02 points to end at 37.21.
According to analysts at Bank of America, this was the sixth-largest Vix move in points terms since 1990 and was historically outsized
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