CBOE Variance Futures

Yeah, they're not offered on IB as of yet.

 

How do I attach an XLS file here? Wanted to post the sample strategy, but for some reason it is not appearing!

 

Post -> attach file.

 

Ok, here we go. Apparently, the file was too big, so now it is compressed.

 

Thanks for the sheet.

 

agreed - thanks for the sheet

 

Thank you sle for the detailed analysis and the invaluable explanations in this thread.

 

You are all welcome. I will try to continue tomorrow - I am stuck at home with a flu and need something to occupy my head.

 

It was a horrible bug. I've had it for 8-days as it runs through the family. Astragalus extract works wonders, but it must be taken early and often. Echinacea is worthless with viral infections.

 

I have perhaps a noob question.

In the CBOE docs, there is some text that seems to explain that any "disruptive event" (defined in the text but essentially a flash crash or perhaps trading curbs depending on how you read it) will be excluded from the final calculation.

Is this of any concern with this product?