Re:Credit Suisse Takes $4.7B Hit on Archegos Meltdown
by dcolkitt on Tuesday April 06, 2021 @12:48PM
(#26714170)
To be fair, Archegos hedged their beta exposure with short index futures. The implied vol includes both the beta vol and the idiosyncratic vol. A hedged position should be a lot less vol than being naked long.
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