"When it became apparent they [LTCM] were having difficulties, we thought that if they are going to default, we're going to be short a hell of a lot of volatility. So we'd rather be short at 40 [at an implied volatility of 40 percent per annum] than 30, right? So it was clearly in our interest to mark at as high a volatility as possible. That's why everybody pushed the volatility against them, which contributed to their demise in the end."

Donald MacKenzie, An Engine, Not a Camera, loc. 1068