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Assume a 6 M variance swap has strike 1 6 % , and $ 1 m vega. Assume the implied volatility doubles, what is the
Assume a M variance swap has strike and $m vega.
Assume the implied volatility doubles, what is the vega at the new volatility level?
What is the max amount one can lose if long the variance swap?
Is Gamma of this variance swap higher or lower than one with the same characteristics but with M maturity?
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