What if Short-vol ETN blow-up forces vol-target funds to delever (Volmageddon)?
A spike in the VIX detonates inverse-volatility products; the rebalance feedback forces vol-targeting and CTA funds to dump equities into the close, a Feb-2018 Volmageddon echo.
Every number ships with its receipt — the odds, the range, the precedents, and a public grade at Reality Check. The statistical machinery that produces it is proprietary.
The butterfly cascade
How this trigger trickles across markets, left → right — the root shock, its first‑order moves, then the ripple effects. Drag any node; tap a market for its real price history.
Resolution timeline — how this probability is moving
Our model's odds (electric blue) over time vs the market's (Polymarket, amber), from the past toward the 0–6 months horizon. Each dot is a real macro event that nudged the probability — green pushed it up, red pushed it down. Tap a dot for the source. Loading the probability audit trail…
What it would mean
If this plays out, it is a risk-off shock. A spike in the VIX detonates inverse-volatility products; the rebalance feedback forces vol-targeting and CTA funds to dump equities into the close, a Feb-2018 Volmageddon echo. The trigger decomposes into signed root‑shocks — Volatility (VIX) ▲ · Financial conditions ▲ · Risk appetite ▼ · Risk-parity deleveraging ▲ — which propagate through our causal graph to the markets below.