Volmageddon and the Failure of Short Volatility Products
描述了2018年2月5日做空波动率策略的突然崩盘事件（Volmageddon），分析了市场高度集中和波动时对冲与杠杆再平衡的风险，为风险管理提供了教训。
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.