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January 27, 2014

Variance Risk Premium In Light Of VIX Soaring 31 Percent Reply

Variance Risk Premium • Tags: implied volatility, realized volatility, VIX

Market participants rushed to purchase protection, with VIX soaring to above 18 from below 13 a few days ago. What is the impact of this increase on the Variance Risk Premium? Result – not massive – the implied volatility rose pretty much in line with the realized.

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Trend Situation Among Asset Classes
Realized Volatility Still Below Neutral

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