For a recap of what happens when there is too much "endogenous" risk in any given system (same sided bets), see Rosenfeld presentation... and career
And again, this time in terms of averages and VWAPs. Indicative purposes only.
FAS average price over, or rather under, VWAP: -1.75%
And FAZ average price versus VWAP: +70% !?
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