Volatility Strategies

​Optimal Tail Hedge Seen In VIX Calendar Call Spreads

Aug 12, 2015

The steep term structure in the VIX and the benefit of unlimited upside is making calendar call spreads attractive as a tail hedge as opposed to VIX call spreads. The rising VIX beta to S&P 500 during drawdown enables VIX to be a valuable underlying to deploy tail hedges.

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