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I'm long 30 85c, 30 73.5p, 10 74p. Total cost $36200 (ex commissions). I'll try to exit Sunday afternoon and limit theta burn. I can hedge as long as the markets are open... it's only these 48 hours that I'm nervous about. If people are interested I'll update people with my fills.

I also remember Dubai fears back in November. Crude sold off HUGE on that news. I think it's time to pick up a few more puts.

Quick question: what's more likely in the face of macros news over the weekend? A melt-up, or a melt-down? If, for example, Greece defaults over the weekend. What's more likely to occur? CL at 90, or CL at 70. I'm buying some OTM option protection, just want to figure out which side to...

I suspected, but I wasn't sure before. Now I'm pretty positive a certain someone is trolling us.

That diploma should get him some credibility, at least get him through the door for interviews. But my (limited) experience is that no one will be interested in him for his mathematical domain knowledge. If he's as "sharp" as he is book smart, though, then he should do well. I would...

vix futures are traded at CBOE. OneChicago is for single stock futures, another great idea with cripplingly low liquidity and wide spreads.

I already use them, but it doesn't support commodities... and doesn't let me create arbitrary instruments/strikes so that I can emulate commodities.

Hi all, What's a powerful/easy to use tool that really lets me play with various portfolios, and calculate greeks? I'm willing to pay, priority is on ease of use. I'd like to be able to easily create portfolios across 20-30 strikes, and then see how the valuation changes with volatility +...

Just to be clear, I don't have a problem with the product. Like I said, I'd certainly use it. But I've just been looking at too many dead products recently... look at CBOE's VT, for example. My belief is that a product won't succeed unless: a) there's an arb-identical product with very...

I don't know if you're clear how variance swaps function. Just by way of comparison: I'm perfectly willing to step into the VIX futures market and act as a market maker. Why? I can calculate (with minimal risk) how much it will cost me to get rid of my exposure using SPY options. The...

MMs don't hedge "ATM straddles/strangles". They hedge their entire option book's delta. This is the real implication of Black-Scholes, isn't it? Options are priced such that if you delta hedge with the underlying, and statistical volatility proves to be in line with IV, then you don't...

Obvious statement of the day here: to have a contract succeed, you need to have liquidity. VIX products exist because whenever a buyer comes into the market, a seller can take the other side of the trade without taking ANY risk. If I'm a VIX future market maker, whenever I have a short...

Hmm, I don't know. I know there are instruments based on weather, real estate numbers, jobless numbers, etc, etc... so surely, you can create random instruments on any "bet". However, note that VIX futures exist precisely because the settled current value is calculated as a variance swap...

Exactly. You're talking about a variance swap. The challenge is, no market can exist for a contract unless the exchange can convince sellers that they can effectively duplicate/hedge the contract using other assets. You can't make this work with speculators on both sides. Index variance...

It really looks to me like we're going to be in for a $80+ settlement.

Anyone else confused by whether people are trading April or March contracts today? Or can I safely assume everyone here is onto the CLJ?

Look here: http://www.cmegroup.com/company/clearing-fees/index.html

Do you have any experience with ICE membership? I was about to get excited after seeing a bid/offer price of $10k on ICE membership... then I saw this: "The bidder must have 3,162 shares of ICE common stock in an unrestricted account at Computershare in order to place the bid." With ICE...

Yes, I just registered and started trading a CPO. I'm the only investor, and doing enough volume that I thought memership may make sense. Two memberships, however, is a different story.

Thanks! I found it shortly after I posted... go figure. I'm probably going to have to punt the membership idea even further down the road. I just realized corporate memberships (which is what I'd need for my commodity pool) requires me to lease *two* memberships. So, the break-even point...