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Assessing Recent Dynamics in the World of Vol

Alpha Exchange

CHAPTER

The Faltering VIX and the Loss of Capital

In Q2, the highest level of one-month realized vol reached in the S&P was just 14. There's only so much premium of the VIX to realize vol that can be justified - fears of a debt ceiling debacle notwithstanding. The faltering of the earnings engine for long vol strategies pulled the rug out from under the VIX.

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