research
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Apr 6, 2026
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16 min read
How to Trade Volatility: A VRP-Based Approach
How to Trade Volatility: A VRP-Based Approach
A trader checks the VIX, sees it above 20, and buys VXX calls because "volatility is going up." Three weeks later, negative roll yield has eaten a third of the position and the VIX has barely moved. Another trader sells a
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