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The Week Ahead w/ Liz, Guy & Dan + All Things Vol w/ Kris Sidial

RiskReversal Pod

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Is the VIX Become More Fat-Tailed Due to the Change in Derivatives Market?

Is the VIX becoming increasingly, now wait for it, please audience, lepto-curtic due to the change in derivatives market? Now, I think that word has something to do with bell curves and distribution. We measure something called implied spot vol beta. And really what this means is, if the S&P moves a certain amount, what should we expect the VIX to move? That's really what it is in layman's terms. In November and December of 2021, we saw one of the largest relationships that we've seen.

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