Recent content by spriteork

I feel it in similar way. I think that it's better to convert a position in VIX futures into some "phantom" position in set of options (where counts are dynamic, gradually changing in timeo_O) at many many tradable strikes, and analyse it together with portfolio of options, where your firm is...

I may mistunderstand the thesis about "standard models", but if you're using vix futures for other products - yes, you just taking futures prices from market. I mean trading that futures from a dealer/MM side.

you can't use arbitrage-free replication, you can use some approximation with limited set of options in practice. relating to enterprise MM software I wanted to see how that "computation" of vix futures vs portfolio of options is working

I'm trying to figure out how to MM vix-like futures from a modelling perspective, speed is the next problem after that.

I'm not a big practitioner in pricing vix futures, through I can suggest that sources - 2 articles "more than you wanted to know" from JPMorgan and GS guys, they're fine in explaining the origin of variance swaps, their idea for accurate volatility bets with constant gamma, their easy static...

I want to understand, to see on the demo, how it works. What models and approaches are commonly used in volatility futures, and how it is all hedged and replicated in enterprise trading systems... What functionality and typical User Interface cover it...

it's not a problem, we can find partners in some country, with low AML risk also.

Yes, it's very expensive.

Hello everyone. I've seen some topics on this forum about "options market-making software" that allows modeling, pricing, and quoting with some off-shelf software. I'm interested is there any commercial software for pricing, quoting a volatility futures (for example VIX futures or VSTOXX...

I think it's a question of some local networking to dive into how it all works here (starting from registering a firm and so on). As I understand India have a very big options market so there are a lot of sharky firms here, for example somebodies okay to pay 500k annual to CME for memberships.

That would be fine, but I can't choose this broker.

Hello. I'm looking for a broker that - accepting international clients (outside North America and Eurozone) - allow to trade multi-leg option combos on US stock/ETF (smth. like SMART order routing) - have a gentle min. commissions/service fees for a small deposit (below $50k) Also it will be...

Haha, I'm not an insider can watch the flow. Ideas come from simple fundamental understandings, like profits of gold miner depends on price of gold, or WTI crude oil correlates with Brent crude oil and etc. Yes, you've got my idea - I'm looking for the way of "fundamental" learning, what...