Equity volatility: The technicalities of a variance swap
Equity market volatility in advanced economies shot through the roof when the credit and liquidity crisis kicked in last year and has been high ever since. It might have been expected then that the variance swaps market, which in the past has suffered its own liquidity gluts because the market is historically prone to one-sided trading, would also have gone into lock-down mode.
But that wasn’t the case.
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