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Vol of vol in low rate environment
With low level of rates, the vol of vol is expected to be higher than usual. What kind of strategy can be setup to benefit from this?
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- Martinghoul
- Posts: 188
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Vol of vol in low rate environment
Simplest I can think of is an iron fly. Short a straddle, long a strangle.
Last edited by Martinghoul on January 25th, 2009, 11:00 pm, edited 1 time in total.