JPMorgan Spells Out ‘Volmageddon’ Risk on Zero-Day Option Craze
- Strategists say 0DTE option rise sows seed for market turmoil
- In extreme scenario, a 5% market loss could snowball past 20%
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JPMorgan Chase & Co. strategists are throwing fresh light on their contentious warning that the craze for zero-day options raises the risk of a market-wide “Volmageddon 2.0.”
In a new study, a 5% drop in the S&P 500 is seen snowballing another 20% in the worst-case scenario of thin trading, in the extreme event all traders offload their holdings of zero-day-to-expiration options, known as 0DTE.