When Korean Prosecutors Knock, How Is Your Sharpe Ratio Holding Up?

Before the morning open, I was running an intraday mean reversion model when I suddenly saw this news. Maybe because we do high-frequency trading, we're particularly sensitive to sudden events. I immediately pulled up Montage Technology's intraday volatility surface and found that implied volatility had jumped by about 15 basis points. Although the company responded saying they are "actively cooperating and operations are normal," the Korean prosecutors' surprise raid on Samsung and SK Hynix suppliers is no ordinary commercial dispute.