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10/13/2010

Access to Volatility via Listed Futures


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Standard & Poor'sWhile it is impossible to directly access spot volatility (VIX(r)), futures and futures-based indices can provide broad access to what has been dubbed the "investor fear gauge." Though they do not track the spot VIX perfectly, these indices have a strong negative correlation with the S&P 500(r) index. The term structure of volatility has a profound impact on index characteristics and is key to efficient usage of these instruments.

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