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PureBytes Links
Trading Reference Links
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Example:
Leg1 Vola of 20% implied or historical wath ever you think works for you
Leg2 Vola of 30% implied or historical wath ever you think works for you
Adjust Leg1 *= Leg2 Vola/Leg1 Vola
if you don't do it you will trade more or less the leg with the highest
vola.
----- Original Message -----
From: <fwalaval@xxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Thursday, March 25, 2004 7:48 PM
Subject: Re: Spread
> What are the mechanics for this.
> And is the reference to historical or implied.
>
>
> ****************************************************************
> Never forget to adjust for different volatility in the leg's of the
spread.
>
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