Most of the time when we discuss diversification, we focus on mitigating price risk by selecting assets that are not correlated with one another. However, just because two assets may be uncorrelated in terms of price changes, does that mean they are also uncorrelated in terms of volatility changes? As options sellers, an increase in volatility leads to a rise in options premium, which negatively impacts our P/L and increases our BPR. So, how correlated are the volatilities of various products and is there any way we can diversify some of this risk?Join Tom and Tony to find out!