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This is a companion video to • (Non-)Locality, the Einstein-Podolsky-Rose... in which I discussed the relation between Bell's inequality and locality. In this video, I give a full proof of Bell's inequality in a very general setting, starting only from the assumption of locality. Difficulty level: 3/4 (orange). Prerequisites: probability distributions, conditional probabilities, expectations, integrals. See • (Non-)Locality, the Einstein-Podolsky-Rose... for an introductory video on Bell's inequality and locality. This video was filmed at the Department of Mathematics, Rutgers University in Piscataway, NJ, on November 19, 2022. Very special thanks go to Sasha Pohle for helping me produce this video, as well as to Sheldon Goldstein and Michael Kiessling for their useful feedback and comments. Photo credits: J. Bell: CERN 00:00 Introduction 02:11 Bell's theorem 04:22 Setup 07:42 Locality 09:34 Back to Setup 11:21 Back to Locality 12:40 Statement of the theorem 14:53 Proof 22:04 Discussion 24:53 Conclusion