It was the afternoon of June 22nd 2016 in Chicago, a few hours from the result of the Brexit referendum. Most of the world was betting that the UK would vote to remain in the EU. One of the trading desks at my previous firm was selling volatility in the E-minis which already seemed too high.

It seemed like easy money — once results were out and the UK voted to remain in the EU, volatility would come off and the desk would make a quick buck.

Overnight, everything changed when UK voters voted to leave the EU. The initial…

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