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Sandy Rattray, who jointly devised the formula to trade futures contracts tied to the Vix back in 2003 when working at Goldman Sachs, said products that allow investors to trade volatility could be creating a “circular system” of measuring risk in financial markets.
“If the tail was wagging the dog before, you didn’t notice very it much. What happened on Monday was the tail grabbed the dog and gave it a swing around the room,” said Mr Rattray, who is now chief investment officer of London-based Man Group, which runs some of the world’s largest systematic trading funds. “The Vix has moved from being a measure of something to being something that influences this thing it is trying to observe”.
Sandy Rattray, who jointly devised the formula to trade futures contracts tied to the Vix back in 2003 when working at Goldman Sachs, said products that allow investors to trade volatility could be creating a “circular system” of measuring risk in financial markets.
“If the tail was wagging the dog before, you didn’t notice very it much. What happened on Monday was the tail grabbed the dog and gave it a swing around the room,” said Mr Rattray, who is now chief investment officer of London-based Man Group, which runs some of the world’s largest systematic trading funds. “The Vix has moved from being a measure of something to being something that influences this thing it is trying to observe”.
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