The document discusses the risks and complexities associated with volatility indexes and implied volatility options. It highlights the potential divergence between calculated exercise settlement values and indicative values due to market forces. The document also emphasizes the complexity of strategies involving variability indexes and the importance of understanding the calculation methods. It warns that predicted volatility may not align with actual volatility and that strategy-based indexes may not reflect actual returns.
doj/DataSet10/EFTA01393184.pdf
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