A Tour Around the Options World with SpotGamma's Brent Kochuba
Excess Returns
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The Effect of Zero Dt on the VIX
The correlation between the S&P 500 index and the VIX has changed since zero dt was launched. A lot of action now takes place in the zero dt e space, especially when you consider out to five days,. And so this kind of epitomizes what the VIX is missing, right? Nobody cares about volatility 30 days on time, no one's pricing volatility.
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