The extent of portfolio insurance's role in the 1987 crash is not clear. Nevertheless, if it did play a role, it would indeed be a case of counterperformativity. First, on the log-normal model underpinning Black-Scholes-Merton the crash was, as already noted, an event whose probability was vanishingly small. Second, both the crash and, paradoxically, perhaps to an even greater extent the partial recovery that took place immediately afterward are hard to account for in standard efficient-market terms as rational responses to new information. Third, the crash was the historical trauma that, at least in U.S. options markets, gave rise to the volatility skew and thus ended the Barnesian performativity of the classic form of option theory.

Donald MacKenzie, An Engine, Not a Camera, loc. 1167