Holy shit ....... Only on ET does it take 5 posts to get the basic details of a trade. Wouldn't 1 post be enough, or are you guys trying to boost your post count?
It's being "phased in" voluntarily. A lot of capital adequacy rules imposed by local regulators are loosely based on Basel III guidelines. Some of the product that has hit this particular fan is still airborne while some has already landed.
The IV on these is very high...something like 50 According to the simulator I use, The low was 40 a couple weeks ago. the high was 60 in august
And what's the point in selling 5 month vol? The difference between 40 vol and 50 vol is pennies fwiw. Are you really going to hold these for 5 months? And if not, you'll be giving those pennies back on the way out. I just don't understand these trades.