OTM calls on VIX still in demand as volatility falls
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OTM calls on VIX still in demand as volatility falls

Last month we noted that market-based measures of implied volatility had fallen considerably as Chinese indexes stabilised, developed market equities moved toward recent highs and commodity selloffs were contained. Two weeks later, we find that volatility risk premiums have fallen further in most cases, as traders price in less risk during a seasonally quiet period.

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