macrocephalopod

SPX has mostly had boring sessions since November. all this recent excitement under the surface has barely registered

Which is another reason why the VIX futures curve being so elevated is noteworthy -- at the index level there really hasn't been all that much volatility, and yet index implied vol won't drop.

very carefully. more seriously, to play higher implied correlation you'd buy index vol and sell component vol, so something like buying S&P 500 straddles vs selling straddles of a bunch of S&P 500 companies, and then you'd delta hedge everything. But that's...hard.

you'd prob sell wide strips of S&P options against wide strips of singlename options weighted on the component index weights, approximately replicating volatility swaps on each underlying, and then dynamically manage that portfolio over time to ~zero vanna/volga

What are your thoughts on dealers who package this correlation trade and offer it as a swap?

in practice the implementations vary widely. things to consider: 1) all-in costs, gross vs net performance history 2) trade construction and portfolio management. if variance swap based, very risky. if fixed strike: what does it to to mitigate path dependence?