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The Alpha Exchange Q1 2023 Review
Alpha Exchange
The Long Vol Product That Lost More Than 20% in 2017
A short in the VIX ETP complex was increasingly dicey as the VIX descended below 10. The term structure ended 2022 in S&P vol in its natural resting place, Contango. In just a week in mid-March, the VIX surged from 75 to 122. It was the market becoming reacquainted with left-tail risk.
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