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Fragile Markets Haunted by VIX, Leverage, and Liquidity

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VIX panic in a pic

Yesterday was simply huge. Goldman's derivatives team, who nailed the VIX call spreads logic (here), write: "1-day spike … 2nd largest ever behind Feb 2018, which speaks to 1) the very low starting point for short-dated S&P implied volatility (yesterday’s SPX 60bp FOMC implied move was the lowest in years); 2) a less-healthy functioning equity market."

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