Just to be clear, in the context of these contracts, realized vol (just like vega) has a very specific definition, based on end of day...
I'm going to re-work this example, but from the day 1 example so I understand it. Let's say we bought the Jan 13 contract on the first day it...
I'm not talking vega in the generic, theoretical sense. I'm talking about the specifics of how this contract trades, like if I or you wanted to...
Yea, the intuition made sense. :) I just wanted to know how the actual mechanics, in terms of how the FCM clears / reports the trade, how the...
Continuing with this thought experiment (which I'll probably test out with some orders tomorrow): - I fill an order to "buy 25000 VAF3 @ 19.5",...
This makes sense to me. I just did this little thought experiment using the calculator... - say I placed the order above, buying 25000 vega...
That explanation doesn't make sense to me... I'm probably missing something obvious here. But if we assume that CFE table is correct, it's...
The implied variance for both Jun 13/Sep 13 moved up a similar amount, and I'm sure realized is the same across both... ... so why is it that...
My understanding is that they are not related to each other in that way. Remember these are futures prices, and not the implied volatility...
Not sure what you mean by "jumps". If you are referring to whether prices are assumed to be continuous.. It's priced off of daily settlement...
You are to me, yes. I've also been thinking about it this way. If I purchase a var swap today with implied at 16%... and you purchase a var...
I'm not really sure where you went wrong, so I can't give you specific advice... but no, the final conclusion is definitely not correct. Being...
What's the significance of the "variance strike"? My best guess is.. it's just there as kind of a benchmark? So that as long as implied is...
I would be interested in a reference / paper explaining the vulnerability of different strategies to curve-fitting...if you have a link to share!
A couple more questions / topics that came to mind mid-sleep, and I wanted to put down before I forget: - what would be one-day change in VA...
I mean, I guess I'd just like to know what this thing would look like on my equity run. If I wanted to sell 25k vega notional with volatility...
Apologies while I ask dumb questions while I muddle through this... Could we work on some numbers... where let's say today's move happened to...
sle, Thanks first of all for putting this thread together. I'm hugely interested, and look forward to catching up to the terminology /...
Fwiw I asked my executing broker to get me a market on these, and he reached out to the guys making markets on VIX at larger shops (Wolverine /...
That's exactly what I mean. A significant DD, and you might as well hang up your gloves. You will forever be explaining your DD and how/why...
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