![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjHOdaHjNggbBgK_vaPiOuVwFFD4oCUVb9_2BArSd3JCAwhYvJM5WH1KSqPxmMT5qZeS_QoPUgaRZOhUyyE1XEi8FYecZ8JbM4Csw52XjGZy-tTk9YpaY7r5PKuS0prhiN1Cfw1eJ6-5zU/s400/VIXVXV+7.14.09.jpg)
Tuesday, July 14, 2009
Some More Forward Risk Arbitrage
Posted by
Tyler Durden
at
10:03 AM
VIX-VXV hits steepest levels in a long time. Short-term vol being driven down by dispersion traders (selling correlation), cyclical/seasonal pressures, and risk transfer. Then again all these synthetic risk measures are likely screwed up beyond belief.
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![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjHOdaHjNggbBgK_vaPiOuVwFFD4oCUVb9_2BArSd3JCAwhYvJM5WH1KSqPxmMT5qZeS_QoPUgaRZOhUyyE1XEi8FYecZ8JbM4Csw52XjGZy-tTk9YpaY7r5PKuS0prhiN1Cfw1eJ6-5zU/s400/VIXVXV+7.14.09.jpg)
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