One Sigma Short Of A Black Swan
23 July 2009
VIX Options Weirdness
I don't trade VIX options, but I've shown some pretty wacky disparities between call and put IVs. I thought there had to be an explanation, because it just wasn't credible that such huge differences weren't arbed away.
Dean Mouscher has the answer in a
16 minute video on the subject
If you are trading these, or might at some point in the future, this is a must view.
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