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XIV Liquidation
Taylor Smith
edited

As many of you may be aware, this recent surge in the volatility index resulted in the liquidation of one short vol ETF, XIV. This can occur when NAV falls more than 80% in one trading period.

I am wondering how Q will hand this on the algorithm side. Suppose your algorithm was long XIV - would the recoverable amount be credited to cash? Suppose you were short?

On a separate note, if an algorithm in the competition has XIV as one of the trade-able securities and it is no longer available for trading, what we be the proper way to account for this? I suppose the situation is similar to if the security is not available for short?

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