我問近年選擇權賣方的災難事件。

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我問gemini:

what are the catastrophic events for options sellers in recent history in the US market?


For options sellers, "catastrophic events" in the US market are typically defined by a sudden and rapid increase in implied volatility or a massive, unexpected directional move in the underlying asset's price. These events can lead to severe, and in some cases, unlimited losses for those who have sold options.

Here are some of the most significant catastrophic events for options sellers in the US market in recent history:

1. "Volmageddon" (February 2018)
This event is the quintessential example of the dangers of selling volatility.

What Happened: For years, market volatility was at historically low levels. This encouraged a popular strategy of "shorting volatility" by selling VIX-related products, such as the VelocityShares Daily Inverse VIX (XIV) and the ProShares Short VIX Short-Term Futures ETF (SVXY). These products were designed to profit as the VIX (the "fear index") remained low.


The Catastrophe: On February 5, 2018, a sharp drop in the S&P 500 caused the VIX to spike by over 115% in a single day.

Why It Was Catastrophic: The design of the inverse VIX products meant that as the VIX rose, they were forced to buy VIX futures to rebalance, which in turn drove the VIX even higher. This created a vicious feedback loop. The XIV ETP, a multi-billion dollar product, lost over 90% of its value in a single session and was liquidated, wiping out countless investors and options sellers who were short these volatility products.

2. The COVID-19 Crash (March 2020)
This event demonstrates the risk of selling options even on major, seemingly stable indices.

What Happened: The sudden onset of the global COVID-19 pandemic and subsequent economic lockdowns caused an unprecedented and swift market sell-off. The S&P 500 lost over 35% of its value in about a month, and the VIX spiked to levels not seen since the 2008 financial crisis.

The Catastrophe: The speed and magnitude of the sell-off caught many options sellers off guard.

Why It Was Catastrophic: Options sellers who were short put options on major indices (like the S&P 500) or individual blue-chip stocks faced massive losses. As the market plummeted, these out-of-the-money puts suddenly became in-the-money, requiring sellers to buy the underlying assets at a much higher, pre-crash strike price. The extreme volatility also inflated the value of every remaining option, leading to heavy losses for sellers who had to buy back their positions.

3. The GameStop (GME) Short Squeeze (January 2021)
This event showed how a unique, social media-driven phenomenon could create a catastrophic event for options sellers.

What Happened: Retail investors coordinated to buy shares and call options of heavily shorted stocks, most notably GameStop. Their goal was to force a "short squeeze" by driving the price up so much that institutional short sellers (like hedge funds) would have to cover their positions, further accelerating the price rise.

The Catastrophe: GameStop's stock price, which was trading around $20 at the beginning of the year, skyrocketed to an intraday high of nearly $483.

Why It Was Catastrophic: Options sellers who had sold out-of-the-money (OTM) calls on GME were decimated. These options were considered safe and collected very little premium, but the unexpected price surge forced sellers to buy the stock at its inflated market price to fulfill their obligation to sell it at a much lower strike price. This resulted in what were, for many, financially ruinous losses. The event also impacted market makers, who had to rapidly hedge their own exposure, further exacerbating the price move.

4. The OptionSellers.com Blow-Up (November 2018)



While not a broad market event, this is a powerful case study for the dangers of selling naked options.

What Happened: An investment firm, OptionSellers.com, which specialized in selling naked call and put options in commodity markets, was heavily positioned in natural gas. Their strategy was to collect premiums, believing the options would expire worthless.

The Catastrophe: A sudden cold weather forecast caused a rapid, unforeseen spike in natural gas prices.

Why It Was Catastrophic: The price surge caused their short naked call positions to become highly valuable, resulting in massive margin calls. The firm did not own the underlying natural gas, so it was forced to buy it at a skyrocketing price to cover its obligations. The losses were so severe that the fund lost all of its client capital and even put many of its clients into debt.