A glitch in the market for derivatives of ETPs may be costing investors millions, increasingly often. VIX creator Robert Whaley is investigating the problem, which shows up when an ETP alters its leverage or what it invests in. That reduces volatility, along with the value of your wager if you bought an option. Regulators and most market players have yet to realize the full consequences, Whaley said.
https://www.bloomberg.com/news/articles/2020-10-09/father-of-vix-warns-options-glitch-is-costing-investors-millions
https://www.bloomberg.com/news/articles/2020-10-09/father-of-vix-warns-options-glitch-is-costing-investors-millions