Market history · Volatility ·
Volmageddon
On 5 February 2018 the S&P 500 fell about 4% and the Dow Jones Industrial Average dropped more than 1,100 points, then the largest one-day point fall in its history. The VIX volatility index more than doubled to about 37.
Exchange-traded notes that were short volatility lost most of their value overnight and one was later shut down. It ended a year of unusually low volatility and showed how products built on "selling insurance" can fail all at once.
The takeaway
Strategies that earn small, steady returns can hide large tail risks.
This is a retrospective about a past event, provided for general information. It is not investment advice, does not describe RockLake's positioning at the time, and past performance is not a guide to future performance. Read the risk warning.