Thanks for this useful information. We both speak to someone who started his firm with the proceeds from that Vix craziness - some great stories. Roger.
You are definitely right on that. Thanks for the advice! I am working on figuring out how to model the slope/term structure to figure out when the dislocation is occurring.
This is one of the main things I am working with on the modeling is accounting for the months like December that are weaker and just in general figuring out what is a true dislocation and what isn't.
Hey guys, Quick question that I have been curious on, I didn't know if any of you all might have an answer. Why is the CFE margin requirement for the 2nd spread (month 2/3) so much lower than the 3rd (3/4)? $890 vs $2,120. I am just curious whether they make the second spread lower so it is less costly to hedge a front spread position or if there is another reason? Seems like the 2nd spread would have a higher probability of a larger adverse move than the third. Anyways, just curious and wanted to see if anybody knew. Thanks!
OCC maths using liquidity, stress tests etc...i have made many calls to CFE, they seem as frustrated as traders are. still no clarity i seem to get.
"In fact at certain times when the curve is most likely to shift up or down instead of change its shape/slope the edge is in the outrights as you cant capture that with spreads." Sometimes a single sentence, obvious to the participants in this discussion, is heplful to others and what keeps people coming here. Thanks.
Crazy drop in the spot VIX, dropped to 12.80 right before the report then spiked right back up to 15+
market makers widen their screen markets in the SPX through all the strikes, so the "mid market implied volatility" calculation used for VIX number got skewed lower
Thank you again sir! I've been debating on putting something on towards the front (maybe dec/jan) expecting a little flattening of the front of the curve, but haven't acted yet. After seeing the fed's statement and that rates aren't going up for a very long time apparently, I think I am going to just sit on my hands.