Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
The stock market sell-off on January 24 materialised and then vanished like a crime without trace.
That morning, the S&P 500 took a bloodying at the hands of investors, plunging nearly 4%. By the afternoon, the sellers had vanished. The index ended the day up a third of a per cent. The Nasdaq saw an even more extreme version of this turnabout, falling close to 5% by midday, then recovering so
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Investing
Offshore bonds to give China lifers a yield lifeline
Expansion of Bond Connect scheme will provide higher yielding assets for life insurers, and may ease concerns over asset-liability management
Polytechnique’s Lehalle on bottleneck models and Hormuz closure
Iran conflict raises a now-familiar problem, says quant: how to predict which goods go where
Prop AMM makes CIO Jump to attention
Jump Trading’s Olsen says new tool allows users to create a ‘mini’ version of the firm
CDS financials index to relaunch – minus big bank names
Revamped index drops G-Sibs and adds BDCs, but questions remain around use cases
Could prediction markets go wholesale? Exchanges think so
Some venues are exploring demand for institution-focused product; others say wholesale users can play in retail space
Hedge funds stopped out on euro steepener amid Iran conflict
Gas price rises flattened 10s30s euro swap spread, forcing investors to cut positions
Leveraged ETFs may have fuelled Kospi plunge
Record one-day drop in Korean equity markets follows months-long surge driven by leveraged bets
Iran conflict forces EM carry trade unwinds
Surging oil prices, rising vol and dollar flight triggered stop-outs of emerging market positions, say dealers
