Trading the vol-of-vol risk premium

Applications of the vol-of-vol parameter for cross-asset derivatives are presented

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This paper follows up on an earlier article that isolated a risk premium on the so-called vol-of-vol parameter for cross-asset derivatives. Lorenzo Ravagli discusses the more practical, trading-oriented applications of the premium and broad-based conclusions relevant for investors, hedgers and volatility traders, and introduces the statistical properties of short vol-of-vol trades

‘Gamma’ volatility strategies bank on the mismatch between implied and future

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