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With a dispersion trade where one shorts rich index vol and longs stock vols, there is a short correlation exposure.
If i short rich stock vol and long cheap stock vol (say i short Citi ATM call and long GS ATM call in a vega-neutral portfolio), is there a correlation exposure???
If i short rich stock vol and long cheap stock vol (say i short Citi ATM call and long GS ATM call in a vega-neutral portfolio), is there a correlation exposure???
