I'd bought it before the auction and considered closing on the results as I didn't think there would be follow through. Before I could buy futures against it we dropped like a stone.
Pure variance. 65 lot spooz. RTN but I don't want to take front end risk into Memo Day so it's hyper small. Ignore the theta as it's primarily a bunch of pure arbs in SN. 65 lot spooz and $1K VaR ha.
I'm only long 3 beeps in vol but here is the payoff. Obv you can mark it down $300 basis a handle lower in VIX (poor ref) or ATM SPX (better ref), but all area under the curve is above x. Tiny trade but the goal was to buy pure var in listed vol. I have done it and as a COB-order in SPX. I have worked around the ratio-limit.
Obv ramification that I can hedge (im)perfectly with VX and perfectly with var-futs. There is enough vertical-edge to let it run <100 lots.