Volatility-selling strategies carry potential systemic cost

Jiaqi Chen and Michael Tindall

Economic Letter, 2013, vol. 8, issue 12

Abstract: Investors have increasingly turned to stock market volatility-selling strategies based on the idea of selling implied volatility and buying it back later when it falls to a level more consistent with realized volatility.

JEL-codes: G20 (search for similar items in EconPapers)
Date: 2013
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