Largest change in front month variance swap since June - Front end vol is collapsing, however vol of vol is still very high.From the graph below, we can see that the back end stayed sticky while the front came in very quickly.
Wednesday, October 5, 2011
Largest change in front month variance swap since June - Front end vol is collapsing, however vol of vol is still very high.
Largest change in front month variance swap since June - Front end vol is collapsing, however vol of vol is still very high.From the graph below, we can see that the back end stayed sticky while the front came in very quickly.
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