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Long-Short Volatility strategy

Duncankhtan

Joined
9/19/10
Messages
4
Points
11
With a dispersion trade where one shorts rich index vol and longs stock vols, there is a short correlation exposure.

If i short rich stock vol and long cheap stock vol (say i short Citi ATM call and long GS ATM call in a vega-neutral portfolio), is there a correlation exposure???
 

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