Hmm... pricing in a 30-50% chance of huge vol due to euro credit crisis? If you're sure it's going to happen, some 6-12 month vol swaps might be a good trade. Any experts want to comment? (Are there better instruments for this?) How much further can Merkozy kick the can down the road?
On the volatility of volatility
A pro sez to me: "Vol is totally mispriced right now. Lots of funding requirements in the new year."
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