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Posted on February 28, 2018March 1, 2018

Excess VIX: A Predictive Volatility Model

Background

The events of the past month, most notably the implosion of XIV, has focused public interest on volatility as an asset class. They’ve also illustrated that short vol as a strategy might be a little more risky than advertised (gasp!).

Continue reading “Excess VIX: A Predictive Volatility Model”

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