JPMorgan Chase 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 per cent drop in the S&P 500 is seen snowballing another 20 per cent 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.

Bloomberg