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Someone who sits at a screen trying to pick-out patterns doesn't need an education. It doesn't matter *what* you major in. Computer science might be useful for helping you think analytically in general (but so would 100 other majors). You do have the advantage down the road of possibly...

This is the NFA interpretive notice. I'm pretty comfortable I'm in compliance... but I'd definitely like to hear the nightmare stories of what might go wrong. http://www.nfa.futures.org/nfamanual/NFAManual.aspx?RuleID=9029&Section=9

My allocations are being handled systematically by my own software. Right now, the "work" involved is in reconciliation of the report generated by the software + back-office trades (making sure there are no errors), as well as integrating some manual trades. But I'm interested in what you're...

In theory, certainly. There are several pre-configured allocation schemes they can use. In practice, because of the specifics of what I do, that's not an option.

I'd be interested in hearing from other CTAs and/or people with FCM back-office operational experience. What's an acceptable time frame for getting your end of day trade allocations in? I have a *lot* of trades... 361 lines (for 4 accounts) in my Excel spreadsheet today, and it can take me...

I'm pleased with my performance last year, and it certainly helped me tripled my AUM over the past 12 months. But dude, last thing I want to do is contribute to the idea that "sharing high Sharpe" for a single year is remotely meaningful or useful. I know I can tweak my Sharpe up/down very...

Really? This thread + conversation, again? Bottom line: Sharpe is meaningless without understanding the underlying strategy. No point in playing 20 questions in trying to figure out what you're trading, the bottom line is Sharpe is extremely limited in its utility. You can do apple/apple...

Yea, there definitely needs to be a "fix" here for commissions... Vision is looking at doing something custom for me, but based on my standard setup: - Vision charged me $2.40/side in fees yesterday, - FC Stone charged me $1.52/side... So, for 1k vega notional, that's $100-200 in fees...

Or the other alternative...enroll in a phd program (which pays tuition + stipend) and do MFE-type studies on the side. That's essentially what I did. EDIT: lol. Late by one minute.

Financial engineering is much more about applied math than economics, so your background is excellent. MIT has a great program, but so do most top engineering / business programs... Many now have a path specifically for quants outside of the MBA program. Stanford, Berkeley, University of...

The only way to get this number is to download the calculator from the CFE website. You can plug in hypothetical values for implied + vega notional, and get back precise numbers in terms of futures + price. But again, unless I'm wrong about commissions on this thing, then this seems dead on...

Not sure what vol of vol is, but 1-2 pts a day seems generous. Compare it to, say, ES futures... To get $10k of daily P&L (assuming 15 pts daily range), you probably need just 10-15 contracts, versus 700+ VA futures. That's a serious difference in commissions.

Crap, I just thought of something. The commissions on this thing are monstrous! $1k vega notional = 90 contracts!? If I'm paying $3/side all in, that's almost $600 for a RT, just for $1k vega notional. That's insane. What do you guys think the solution is? EDIT: think of it this way...

Not sure what you're referring to. There's an active market being made on this instrument.

These are all very good questions. I would like to think so, but I don't have enough historical data to answer that with any accuracy. So, ask me again in 3 years.

Just bought 8 more at 14.60... which is equivalent to 756 contracts at 844.4456.

Well, this is actually a hedge for short volatility elsewhere. But yes, theoretically speaking, going long variance futures means you're long volatility. That doesn't necessarily mean implied volatility going up (like it does with the VIX)... it could just mean you believe realized...

Okay, my FCM confirmed that as far as they're concerned... my trade looks like this: B 748 FEB VA @ 846.0412

Just filled 8 of the VA0213 @ 14.75. According to the CFE calculator.. that should be equivalent to 748 variance units (futures contracts) @ 846.0412. I'll update that number once I see the fills on my equity run.

Very helpful, thanks. Are these contracts fungible? A little surprised the mid-point on CFE is a good 0.50 lower than what you're seeing.