1987 Black MondayPortfolio insurance failure lesson
Synthetic dynamic hedging via futures collapsed under volume; use real puts not synthetic
Source: bridges
1987 Black MondayVIX birth post-crash
Crash spawned VIX index 1993; vol monitoring critical post-1987
Source: bridges
1987 Black MondayTail-risk hedging awareness
Holding puts saved portfolios; insurance has cost but works
Source: bridges
1987 Black MondayCircuit breakers introduced
Trading halts at -7% -13% -20% prevent disorderly markets
Source: nyse.com
1998 LTCMLTCM convergence trade lesson
Convergence trades widen during crises; never assume mean reversion in tail event
Source: extreme-events-finance
1998 LTCMLTCM leverage lesson
$4B equity / $1T notional = unsustainable; leverage must respect tail scenarios
Source: clsbluesky.law.columbia
1998 LTCMLTCM correlation breakdown
Diversification fails in crises; correlations spike to 1
Source: prmia.org
1998 LTCMLTCM model-driven hubris
Trust models but verify with stress scenarios; never bet the firm on a model
Source: clsbluesky.law.columbia
1998 LTCMLTCM liquidity premium trade
Off-the-run vs on-the-run convergence trade; safer with smaller leverage today
Source: extreme-events-finance
1998 LTCMRussian default impact
Sovereign default cascades through emerging markets; size EM exposures conservatively
Source: extreme-events-finance
2000 DotcomShort-the-bubble timing
Bubble shorts can be early; structure trades with time horizon
Source: spglobal.com
2000 DotcomValuation discipline P/E
Stratospheric valuations correct eventually; reduce exposure at extremes
Source: spglobal.com
2000 DotcomTech vs broad market divergence
Tech-heavy indices crashed 80%; diversify outside hot sectors
Source: spglobal.com
2000 DotcomCisco/Sun Microsystems lesson
Even quality leaders can fall 80%+ in bursting bubble
Source: spglobal.com
2000 DotcomIPO frenzy fade
Multiple IPO doublings = late-stage signal; reduce risk
Source: spglobal.com
2007-2009 GFCBig Short subprime CDS
Buy CDS on subprime ABX as housing prices peaked
Source: clsbluesky.law.columbia
2007-2009 GFCLehman bankruptcy aftermath
Counterparty risk surfaces in crises; diversify counterparties
Source: clsbluesky.law.columbia
2007-2009 GFCBear Stearns leveraged hedge fund
Highly-leveraged credit funds blow up first; reduce credit risk early
Source: cepr.org
2007-2009 GFCQE1 Fed policy bottom
Massive monetary policy response marked bottom; March 2009
Source: cepr.org
2007-2009 GFCGold bull run safe haven
Gold rallied 200%+ as alternative reserve during financial system stress
Source: cepr.org
2007-2009 GFCFinancials short basket
XLF dropped 80%; financial sector concentrated risk
Source: cepr.org
2007-2009 GFCRecovery leadership tech long
Tech led 2009-2011 recovery; growth equity narrow leadership
Source: spglobal.com
2010 Flash CrashMicrostructure failure
Stub quotes liquidity vacuum; circuit breakers updated
Source: sec.gov
2010 Flash CrashLimit-up/limit-down LULD
LULD bands limit single-stock movements; reduces crash risk
Source: sec.gov
2011 EU DebtPeripheral spread blowout
Greek/Italian/Spanish spreads blew out; arb possible after Draghi
Source: cepr.org
2011 EU DebtWhatever it takes Draghi
Long peripheral bonds after Draghi 2012 verbal intervention
Source: cepr.org
2011 EU DebtEUR weakness vs CHF
SNB EUR/CHF floor at 1.20 created clear directional bet
Source: cepr.org
2015 SNB ShockEUR/CHF de-peg disaster
Always assume central bank policy can change suddenly; stop or unhedged FX = blow-up
Source: cepr.org
2015 SNB ShockTail-risk hedge cost
Long CHF call options pre-de-peg captured 30% intra-minute move
Source: cepr.org
2015 China devaluationYuan rate-cut domino
China devaluation triggered 2016 risk-off; watch CNY for tells
Source: cepr.org
2016 BrexitGBP shock vol
GBP/USD dropped 10% on referendum; vol expansion captured
Source: cepr.org
2016 BrexitFTSE rally on weak GBP
Weak GBP boosted FTSE; understand currency-equity linkages
Source: cepr.org
2016 BrexitVolatility regime change
Political event volatility spikes; hedge before votes
Source: cepr.org
2018 VolmageddonXIV 95% drop
Short-vol products experienced acceleration; sizing constraints critical
Source: quantpedia.com
2018 VolmageddonLiquidity-driven cascade
Vol products triggered self-reinforcing flow; understand product mechanics
Source: quantpedia.com
2018 VolmageddonVIX 50% jump in single day
Front-month VIX more than doubled; massive vol expansion
Source: quantpedia.com
2018 VolmageddonRisk-on/risk-off whipsaw
Equities recovered quickly; vol products did not
Source: quantpedia.com
2020 COVIDV-shaped recovery
Buy massive policy response post-March 2020 lows
Source: cepr.org
2020 COVIDTech outperformance work-from-home
WFH-thematic stocks (Zoom NFLX TSLA) led recovery
Source: cepr.org
2020 COVIDEnergy/Travel underperformance
Airlines hospitality crude oil collapsed; -50%+ moves
Source: cepr.org
2020 COVIDNegative oil price WTI
WTI front month -$37 due to storage; physical commodity microstructure
Source: cepr.org
2020 COVIDCrypto recovery+rally
BTC and crypto rallied 10x in 2020-21 on monetary expansion
Source: cepr.org
2020 COVIDReopening play 2021
Vaccine news Q4 2020 triggered reopening rotation
Source: cepr.org
2021 GameStopRetail short squeeze
WSB-driven short squeeze in heavily-shorted small-caps
Source: cepr.org
2021 GameStopGamma squeeze options
Call buying forced dealer hedging accelerating squeeze
Source: cepr.org
2021 GameStopShort interest >100% lesson
Short interest above float = squeeze risk; cap shorts
Source: cepr.org
2022 LDI CrisisUK pension forced selling
Liability-driven investing forced gilt selling; BoE intervention
Source: dailyreckoning.com.au
2022 LDI CrisisGilt yield spike
Long gilts after BoE emergency intervention announcement
Source: dailyreckoning.com.au
2022 LDI CrisisLiquidity crisis lesson
Forced liquidations from leverage create opportunities
Source: dailyreckoning.com.au
2023 SVBRegional bank panic
KRE dropped 40%+ on regional bank concerns
Source: fdic.gov
2023 SVBTreasuries flight to quality
Long 10y Treasuries on banking stress
Source: fdic.gov
2023 SVBBTFP Fed facility recovery
Bank Term Funding Program calmed regional banks; rotation rebound
Source: fdic.gov
2023 SVBHTM losses lesson
Banks holding HTM Treasuries with losses caused crisis; transparency
Source: fdic.gov
2023 First Republic/SBNYBank failure cascade
Multiple bank failures in days; concentrated short opportunity
Source: fdic.gov
2024 Yen Carry UnwindUSD/JPY 162 to 142
Carry unwind in days as BoJ raised; massive FX swing
Source: cepr.org
2024 Yen Carry UnwindRisk-off equity sell-off
Aug 5 2024 Nikkei dropped 12% in single day; spillover globally
Source: cepr.org
2024 Yen Carry UnwindCarry-trade risk lesson
Crowded carry trades unwind violently; size carefully
Source: cepr.org
UniversalLiquidity dries up first
Liquidity disappears before prices reflect; reduce size pre-crisis
Source: extreme-events-finance
UniversalCorrelations spike during stress
Diversification fails when needed most; consider tail-correlation
Source: extreme-events-finance
UniversalCash is a position
Holding cash during volatility allows opportunistic deploy
Source: extreme-events-finance
UniversalBuy panic sell euphoria
Sentiment extremes provide entry/exit opportunities
Source: aaii.com
UniversalForced selling = opportunity
Distressed selling creates pricing dislocations
Source: extreme-events-finance
UniversalVolatility regime change
Strategies that work in low vol fail in high vol; adapt
Source: quantpedia.com
UniversalTail-risk hedging program
Allocate 1-3% to systematic tail hedges (puts/VIX)
Source: quantpedia.com
UniversalMaintain dry powder
Always have cash reserves to deploy in crisis
Source: extreme-events-finance
UniversalPosition size by drawdown
Cap drawdown to 10-20% via position sizing
Source: quantt.co.uk
UniversalStress test portfolios
Run portfolios through historical crisis scenarios
Source: quantt.co.uk
UniversalCounterparty diversification
Spread broker/exchange/custodian risk
Source: extreme-events-finance
UniversalFed Put expectation
Fed has historically intervened during stress; bottom-fishing
Source: cepr.org
UniversalVIX above 40 mean reversion
VIX>40 historically marks bottoms within 1-3 months
Source: quantpedia.com
UniversalCapitulation volume bottom
Massive volume on down day signals capitulation
Source: quantpedia.com
UniversalHigh-yield credit spread top
HY spreads >800 bps historically mark recession troughs
Source: cepr.org
UniversalYield curve inversion forecast
2-10 inversion historically precedes recession by 12-18m
Source: quantpedia.com
UniversalDefensive rotation late cycle
Rotate to staples utilities healthcare late cycle
Source: quantpedia.com
UniversalLong volatility regime
Increase long-vol exposure when complacency extreme
Source: quantpedia.com
UniversalReduce leverage in vol regime
Cut leverage when realized vol > 20% annualized
Source: quantt.co.uk
UniversalTactical asset allocation regime
Switch allocation between regimes; risk-on vs risk-off
Source: quantt.co.uk
UniversalBlack Swan tail option strategy
Buy far-OTM puts as cheap insurance; Taleb-inspired
Source: Taleb
UniversalAntifragile portfolio
Barbell with safe + small lottery-like tail bets
Source: Taleb
UniversalSkin in the game
Manage own capital alongside any external; align incentives
Source: Taleb
UniversalFat-tail awareness
Markets exhibit fat tails; normal distribution underestimates risk
Source: Taleb
UniversalConvexity hunting
Asymmetric payoff trades with capped downside
Source: Taleb
UniversalOptionality preservation
Maintain optionality to act on opportunities
Source: Taleb
UniversalSurvivorship bias awareness
Don't extrapolate from survivors only; many failed examples
Source: Taleb
UniversalLindy effect for strategies
Older strategies that survived are likely robust
Source: Taleb
UniversalDon't fight central banks
Soros: don't fight Fed; ride policy waves
Source: analyzingalpha.com
UniversalLiquidity is king
Liquidity > yield in crisis preparation
Source: extreme-events-finance
UniversalTrust nothing in crisis
Even AAA can default; size positions accordingly
Source: extreme-events-finance
UniversalMargin calls cascade
Initial margin call triggers selling cascade; respect leverage
Source: extreme-events-finance
UniversalRecovery patience
V-recoveries are exception; most take quarters/years
Source: spglobal.com
UniversalRecession indicators framework
Track Sahm rule unemployment 2-10 yield curve PMI
Source: quantpedia.com
UniversalSahm Rule recession trigger
Unemployment rising 0.5pp triggers Sahm rule = recession
Source: quantpedia.com
UniversalLEI Conference Board
Leading Economic Index decline = recession warning
Source: quantpedia.com
UniversalYield curve KC Fed model
Kansas City Fed yield curve model recession probabilities
Source: kansascityfed.org
UniversalGS BBB-AAA spread monitor
Investment-grade credit spread widening = stress signal
Source: quantpedia.com
UniversalVIX > VIX3M backwardation
Front-month VIX above 3-month = stress regime
Source: quantpedia.com
UniversalSkew extreme tail-risk
High SKEW signals institutional tail-hedging buying
Source: quantpedia.com
UniversalRepo market stress
SOFR-IORB spread widening signals funding stress
Source: quantpedia.com
UniversalFRA-OIS spread monitor
Forward Rate Agreement-OIS spread = bank funding stress
Source: quantpedia.com
UniversalMove index (bond vol)
MOVE index above 130 = bond market stress
Source: quantpedia.com
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.