Compute the P&L of a variance dispersion trade: long single-stock variance swaps vs. short index variance swap. Profit if realized correlation is lower than implied correlation at trade initiation.
Enter the values for the scenario you are assessing. Compute the P&L of a variance dispersion trade: long single-stock variance swaps vs. short index variance swap. Profit if realized correlation is lower than implied correlation at trade initiation. Use the variance dispersion trade result to inform your calculation.