Jul 7, 2010

Volatility Arbitrage (?)

I don't know how big the bid-ask spread is in VSTOXX futures, but this chart based on Jul 6, 2010 prices from the two markets should make you think about putting on some trades. Coming soon - vol skew comparison between the options markets.


Edit: VSTOXX spreads are about 0.5, VIX spreads are about 0.1.

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