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Buy realized volatility, sell implied volatility ?


Unlike 2008 and 2010 implied volatility the market over estimated implied volatility going into and out of the Japan crisis -- why then should Vix be trading so low now?


Vix parity, volatility arbitrage and Japan
Posted by Izabella Kaminska on Mar 29

Posted by on April 11, 2011 8:27 PM |

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