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Quantitative Finance · Glossaire

Qu'est-ce que « Cross-underlying volatility spread » ?

Definition 3.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapitre 3 — Skew and Term-Structure Relative Value

A cross-underlying volatility spread buys implied volatility on one underlying and sells it on a related one, such as two indices, an index and an exchange-traded fund on it, or an index and its members, betting that the ratio or difference of the two vols returns to its usual range.

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