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Dude, it's a "trading bunker". I am pretty sure people are not volunteering to stay in the basement 24/7 and trade.

Given a choice, you should buy SVXY instead. You get to be short VIX index yet your loss is capped at the size of your investment. It’s hard to imagine VXX doubling from here, but it’s not impossible by any means

What does Taleb have to do with understanding variance swaps? PS. pretty sure he left the market before var swaps were a thing, too

You do realize that these are options on the vix index, not vix futures? There are some important differences, if case you're wondering.

Forward can be imputed directly from options: F = call(k0) - put(k0) + k0 and k0 is the strike where abs(call - put) is the smallest Forward is the correct center of the distribution, since it takes into account funding and dividends.

There is an old saying "picking bottoms gives you smelly fingers" :)

Unlike what the movie wants you to think, it was also luck, in large part. Some people has similar positions on and were forced to unwind by their primes. Some people had similar positions on with the firms that defaulted. Some PMs/traders had these positions on and had management ask to cut...

Is that a thing? Which ones? :confused:

Very mature. Now, of course, it's obvious to everyone that you live in a trailer park and enumerate your net worth in empty beer cans.

I don't know if you live in a basement, if your area is fancy or the relative age of your money - on the internet nobody knows if you are a dog. However, I do know that people who have done OK for themselves usually avoid talking about their net worth online and certainly do not boast the size...

For the purpose of this discussion, dealers are the guys trading variance swaps, usually these are index volatility desks at banks. Market makers are market makers in index futures, who are usually high frequency shops like Jump et al. Very different entities.

Throw me a BBG ticker that you are specifically looking for? Markit iBox Broad RMBS TR Index is at 305, up 6 on the day but still well off the highs of 380+ a month ago, if that helps.

Please. Porn. Spankings. No more bikering.

I am not Sle and Sle is not me. Very important point, should SEC ask :) Assuming the dealer has a perfect hedge on (i.e. the strip vs the variance swap), he does not have any gamma intraday, he only going to have to hedge the daily reset. I.e. he does not actually have any gamma because his...

As a side note, the idea of strikes was valid when the labor market was tight. Now, with 30% unemployment he can replace pretty much any number of bodies at will.

For starters, the sheer fact that you tell someone that you are "rich af dude and I don't care if you believe that" means that you probably are living from paycheck to paycheck. PS. seriously, you gonna boast about the size of your basement?

what do you define as hidden liquidity in a single listed product like E-mini?

Like any swap, you agree that at some point in the future you going to get paid the difference between some current level and the value that actually realizes. In this case, it would be the value of realized variance against the pre-agreed strike K: return[i] = log( SPX[i]/SPX[i-1] ) V =...

This is the second time this week I am going out to buy booze for the next month!