The rapid growth of exchange-traded products (ETPs) has raised concerns about their implications for financial stability. A case in point is the abrupt market crash of short volatility strategies on 5 February 2018. In this article, we describe this “Volmageddon” event and illustrate the risks associated with hedge and leverage rebalancing when markets are highly concentrated and volatile. The Volmageddon episode provides valuable risk management lessons because it illustrates the pitfalls of hedge and leverage rebalancing and is reminiscent of the losses incurred through portfolio insurance schemes.

中文翻译：

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Volmageddon 和短期波动率产品的失败

交易所交易产品 (ETP) 的快速增长引发了对其对金融稳定影响的担忧。一个典型的例子是 2018 年 2 月 5 日做空波动率策略的突然市场崩盘。在本文中，我们描述了这一“Volmageddon”事件，并说明了当市场高度集中和波动时与对冲和杠杆再平衡相关的风险。Volmageddon 事件提供了宝贵的风险管理经验，因为它说明了对冲和杠杆再平衡的陷阱，并让人联想到通过投资组合保险计划造成的损失。