How Vega Can Deceive You: Part II
So last time we talked about why longer term vega might not give you a lift with the VIX. So what about trying to catch the VIX with closer volatility using a 1 month calendar spread (June/July). Once again you might find yourself slightly frustrated. So lets take a look at the second dimension of the volatility skew to see why. The Second Dimension The second dimension of the volatility skew comes from the fact the market likes to buy out of the…


Friday, May 9, 2008
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