Kill The Quants, Before They Kill Our Markets

In pointing out the risks of the “new” versions of strategies purporting to be able to control risk (on the fly) — mine was a voice in the wilderness, ignored by the majority of market participants who were enjoying the bullish fruits and impact of these newfangled strategies.

Indeed it took a bit over six years for XIV (an inverse VIX product, its VIX spelled backwards!) to rise from $10 to $144 but only one day for the product’s price to implode to $0. As blogger Quoth The Raven tweeted this morning: “Six years of picking up pennies in front of a bulldozer wiped away in one session.”