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Roni Israelov, President and CIO: NDVR

Alpha Exchange

CHAPTER

The VRP and the Volatility Risk Premium

Timothy Stanley: It's such an interesting thing to look back on these big giant vol events and hindsight is more than 2020. He says the prudent approach is to assume that there are correlated crashes in these markets. And although you're losing in both, when you have a convex exposure, like short ball, there is some diversification benefit," he said.

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