This was a disappointing development to investors in its most popular, LJM Moderately Aggressive Strategy which until last week had AUM of $366MM, and had significantly outperformed the market since inception.

And, as we warned on numerous occasions, just like XIV, this particular vol-selling strategy was set for an abrupt crash.

This was revealed in the company's letter to clients, in which founder and chairman Tony Caine had this to say to clients. Note: any letter whose first paragraph ends in "we have suffered significant losses", can not be good.

As many of you may be aware, the market losses and volatility spike on Monday, February 5th were unprecedented. The VIX Index spiked 20 points, from 17.3 to 37.3, and was the largest one-day spike in the Index's history. LJM strategies have suffered significant losses.