Both exercise and vaccination is even better! It's not one or the other so don't make that false dichotomy. But exercise and the vaccine seem to be equally good at protecting you against severe covid which is amazing for exercise because the vaccine is really good.
Really important study that shows the importance of exercise and physical activity in our health and resistance to diseases like Covid-19
https://bjsm.bmj.com/content/55/19/1099
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https://www.youtube.com/watch?v=VrHAgtj0A44