CBOE Variance Futures

Discussion in 'Options' started by sle, Dec 18, 2012.

  1. You want variance strike to be higher if the business day year fraction is lower then the calendar day year fraction. So, you want to divide variance by the business day year fraction and multiply by the calendar day year fraction:
    x = [BD/ 252] / [CD/ 365] = [BD * 365] / [CD * 252]
    var = vix / sqrt(x)

    makes sense?
     
    #161     Jan 11, 2013
  2. Helo Heech, I'm curious if you got any more recent information about coms.

    There seems to be a disconnect between the CFE charging $8 per 1K of vega, and your FCM charging per variation units. If the costs were $2.40 per 1K vega then they would make a lot of sense, considering that 1K is the minimun tradeable size for this instrument.

    I would really love to trade these contracts but only if the comms are sane.

    Any information is greatly appreciated.
     
    #162     Jan 26, 2013
  3. heech

    heech

    No news at all. I pointed this out to my contact at the CFE, and he basically shrugged. I pointed out if they adjusted the tick multiple, this would also work.... Ie, $10/pt, but each contract priced out of 100 instead of 1000.

    My FCM is supposedly looking at this, but I'm not wild about having to negotiate custom arrangements at each FCM where I have a managed account.
     
    #163     Jan 26, 2013
  4. Thanks for the update, it is appreciated.

    I opened a new thread in the retailers section, we'll see if IB or any of the other guys get enough motivation to offer this at a sensible price.
     
    #164     Jan 26, 2013
  5. sle

    sle

    I am really starting to think that CBOE does not know it's ass from it's elbow and that these futures will go the same way as the other "wounderful" inventions such as listed credit products for very dumb reasons. If they are hoping to win liquidity from OTC, they better be able to get MMs to show competitive markets (DRW showing a vol-wide variance market is a joke, I can show a tighter market in my sleep) and get competitive setups (if you gonna trade variance vs VIX, you would hope to trade at consistent commission levels, not pay 1000 bucks to trade a measly 100k of vega notional). One would expect that they would listen, but instead it goes "bla" every time.
     
    #165     Jan 26, 2013
  6. heech

    heech

    So, can we call time of death on this product yet? The spread gets wider and wider, and fewer months are being quoted.

    March is currently quoted at 9.75/12.80. That's real useful.
     
    #166     Mar 7, 2013
  7. Jgills

    Jgills

    fo some color. if you went to IBD right now and no one is axed it would probably be something like 10.5/12.5 right now, so that isn't THAT horrible for somtehing that has even less liquidity.
     
    #167     Mar 7, 2013
  8. #168     Apr 18, 2013
  9. heech

    heech

    #169     Apr 18, 2013
  10. I am not yet at the point in my vol trading career where I would be ready to trade variance futures, but to me it seems a real shame that the exchanges have not been able to operationalize a product accessible to retail traders. I have to believe that the demand would be there if there was an accessible, relatively liquid market with reasonable commissions. Sle and others, thanks for the great thread though, I learned a lot from going through it.
     
    #170     Jun 30, 2013