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The ask/bid has been around 10-25 (10k-25k vega notional). I'm bidding 8k... small size, more than anything else just want to see what the fills/trades look like.

I primarily use Rithmic's trading front-end + CQG occasionally for manual trading. (Most of my trades are automated, but obviously not for VA.) I execute at Vision currently. But really, any FCM that self-clears the CFE should be able to handle this contract.

The market for Feb VA was quoted around 13.90/14.80 all day... roughly a 90 cent spread. I've been bidding at 14.65 for the last hour, and the market maker isn't hitting me... so that's kind of unfortunate.

Oh, okay... they just added a multiplier of 1000. See: http://cfe.cboe.com/publish/CFEregcirc/CFERG12-056.pdf People are going to be awfully confused when they place an order for '1' and end up with.. 97 futures contracts (at today's price).

LJM led just about every fund out there in overall Sharpe for much of the past decade, up until 2008. I'm not sure what your point is... Were you trading during crash years? Seems to me you are also saying blind quantitative analysis of one year's performance, especially last year, tells us...

Stop loss / max risk on trade are great tools, for certain strategies.... like if a) you only trade liquid instruments with tight spreads in all conditions, and b) if you only trade intraday thus are flat overnight / weekends, c) you only trade delta-one instruments without optionality...

You can't discuss risk management without discussing strategy. Doesn't register. And I think the previous poster's point was that LJM's draw-down for 2012 was -0.72%. But it's draw-down in 2008 was 64%... so again, your Sharpe + DD for last year is really meaningless without discussing what...

I have no problems executing trades on it both on the screen and thru brokers, if I just understood it.

So.. this thread kind of faded? New year, more interest I hope. But I'm confused. A couple of weeks ago, I saw the bid/offer on this instrument quoted with size showing something like 25000/25000... which I understood to be the vega notional number. Now today, I see it quoted with size...

Only one investor: Apple. Exempt from regulation as investment company or advisor.

What's the deal with Vegasoul? It captured my attention 2-3 years ago for having amazing performance + low drawdowns, but they rebuffed my interest with a blanket "we don't accept US persons". And then I noticed, as you said, their returns have been poor recently. How were they making their...

If you have any amount of starting capital, then the right path is to start with your own money. Leverage it up with whatever path is appropriate... although my first thought is that options seems like a strange path to leverage, since it adds many new dimensions to your strategy that you...

This is a strictly hypothetical question, since of course.. interest is as close to zero as you can possibly get. But I'm curious... (this is from the perspective of a CPO / fund) - if I have, let's say, $1 million deposited at a FCM, - if I proceed to sell $200k in options (so total...

Sounds about right... probably similar statistics at databases like BarclayHedge and IASG. What's interesting is that, apparently, naive option-writing funds dominated all of these performance tables from 2002-2007... many running with > 4 Sharpe. And we all know what happened ater 2008...

Good luck finding investors who will accept your word for whatever you claim your Sharpe is. IMO, anything less than what Rapa requires is not going to happen. A legitimate investor not related to you (and/or a gambler) is going to ask for a managed account so they can see exactly what...

More on the wonders of this "fund"... from a May 2012 interview with one of the three employees of the firm. http://www.vanderbilt.edu/magazines/vanderbilt-business/2012/05/second-act/ Well... that's wonderful. They managed to pay their "startup costs" earlier this year. Most funds with...

WASDE has a huge impact on grains implied vola, although that's seasonal (as others have mentioned). For beans/corn, very typical to see implied go from 20-25% to the 25-30% range a day or two before key reports. Usually, the hours after the USDA reports will see vola plunge over-correct and...

To answer the specific answer you asked: no, you can't. You don't have option pricing or volatility, which is really two ways of saying the same thing. If you want option pricing or volatility, there are various vendors out there. ivolatility is one easy one to start with.

I thought that's what you might have meant. If you have a way to replicate your version of realized vol, then with the var swap you have a perfect arb. Say for example, you are confident that if you delta-hedged your long option portfolio x times a day, your realized vol (aka gamma scalped...

So with annualized volatility at 19.95 (continuing Jan 13 example above)... Daily volatility is roughly 1.25. In terms of impact on futures price, 19.95^2 / 252 = 1.58 * 106/252 = 0.66 rolls off the implied side every day. On realized side, if daily move comes in at roughly 1.25% (19%...