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The Alpha Exchange Q1 2023 Review

Alpha Exchange

CHAPTER

The Effect of Fear on Equity Markets

There's nothing that can spike as quickly as short-dated index volatility. The 87 stock market crash is the only time of comparable volatility in this asset class. Since implied vol follows realized vol, there's no heroic insight in guessing Swapion vol went through the roof. If the VIX went from 20 to 60 in five days, would we notice?

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