So here is my question: what happens if the market gaps when volatility becomes extreme? Isn't there a chance that pegs such as BitUSD break in the event of a black swan?
A black swan *is* the situation when a bitasset becomes undercollateralized. When that happens, the settlement guarantee that defines the peg is replaced by a fixed exchange rate bitasset -> BTS, so essentially the bitasset is pegged to a fixed amount of BTS instead of its "real" counterpart.
This has already happened to some bitassets, like SEK, RUB, KRW, and more recently GOLD and SILVER. We are currently deploying a method to re-collateralize bitassets after a black swan to make them usable again.