Dr. Benn Eifert - Bad Ideas (S3E3)
Flirting with Models
The Payoff of a Variance Swap
The price level of a variance swap on the S&P is always at a material premium to the at the money implied ball. That premium might be five or seven or 10 points in a higher volatility environment like this. The question from here is did the events of March 2020 change risk premium on a forward looking basis? Did it change the nature of sellers and buyers? And I think the jury is still out on that.
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