Disrespecting the Tail (guest: Dean Curnutt)
The Market Huddle
00:00
Equity Derivatives
In October of 2007, the equity market was at a then all time high. And it's very clear that there's cracks in the credit markets. So we wound up crafting this product that B of A is kind of an inventor of, which is the option on variance. It's almost a precursor to VIX call options. But just because you make a product doesn't mean that there's a natural seller of it.
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