Thank you for your answer Joe I am particularly interested by spread trading the Vix futures CFE stipulated that initial margin is 50$ and...
does the margin required fluctuate on a time spread (i.e. variation margin) or is it insensitive to the underlying price movements.
just discussing, even the obvious might ensue on something more interesting
any good articles on the relationship between VIX and SPX. found a few. Any models out there trying to explain the relationship? I ran a simple...
any good sources for Greeks on CBs? thank you
I ran a simulation and actually if you dont reshort you're theta exposed, and if it doesnt move you'll lose time value. Of course the furthest...
if i start with both bull and bear 2:1 ratio spreads - short positions striked ATM - and the underlying moves to either wing strike - is there any...
I browsed the web on conv arb strategies. Quite an interesting and vast subject. I found that strategy: Convertible arbitrage is...
thats exactly what I'd like to discuss. Given the high premium on the vix futures resulting from the vix low level. Isn't there a strategy taking...
Damir you trade calendar spreads on the vix futures don't you? Short front month/ long second month ? risk with that position is a swing up...
use them both. futures can sell at a premium (which means theta) options can be used to protect against drastic moves of the vix. thats...
Took a look at it. nice book, very general though I had more in mind discussions about the skew , iv structure and their effect son an assumed...
I have been developping strategies to take advantage of movements in the IV . The idea is to create a strategy which is solely exposed to vega....
been reading all of the last posts... fights, who'se wrong , who'se right. Quite frankly i don't care. Maverick had the guts to put his ass on the...
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