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Risk Management

  • 2018 Volmageddon (February 5, 2018) — The XIV termination event — a VIX spike, levered short-vol ETP rebalancing flows, and the collapse of a $2B ETN in one session. status: draft
  • 2020 COVID Crash (February–March 2020) — A fast volatility-regime shift, liquidity evaporation, record margin calls, and how defined-risk versus naked short-premium books fared. status: draft
  • August 5, 2024 VIX Spike (Yen Carry Unwind) — A one-day VIX spike to ~65 driven by the yen carry unwind and growth fears, followed by same-week full mean reversion — a liquidity event, not a regime change. status: draft
  • Diversification and Correlation — TOMIC diversification rules across underlyings, strategies, and time — and why correlation converges toward one exactly when it is needed most. status: stable
  • Position Sizing — Risk-per-trade rules, sizing by defined-risk structure rather than contract count, and aggregate portfolio heat. status: stable
  • Tail Risk Principles — Negative convexity of short premium, why discrete hedging fails in gaps, defined-risk structures as the tail primitive, and the insurance-company analogy's tail problem. status: stable
  • VaR and Margin — Value-at-risk as an aggregate portfolio risk measure, Reg-T versus portfolio margin, and stress testing as the complement VaR needs. status: stable

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