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same here. ~10% daily loss. Second largest daily loss, much bigger than the ones in Mar 2020. I am a bit greedy and running vol target higher than normal. Got hammered in BZ and HO. KC/CT/CC/SB is bleeding as well. Some ZN/UB/ZB longs are helping, but not enough.

Thanks. That's what I am afraid of. I read about vol/variance swaps, seems like they are more of a "pure play" on vol, whereas the vanilla options for retails have path dependence on the underlying. I remember either CBOE or CME introduced vol/variance swaps for retails years ago, but remains...

Thanks for the reply. From the PnL formula, does it mean that even if one can forecast IV perfectly, the PnL is still not deterministic because realized vol/vega is not known? Maybe I am missing something here. Is there a trade setup that can profit purely based on IV? Here is one plot I am...

This may be a dumb question. Say I have a model that can forecast the delta neutral straddle iv of one asset reasonably well, out of sample, with a horizon of 10~20 trading days. But the price of the underlying, or the price of the straddle can't be predicted. How should I trade it? I assume one...

Yes, that’s referring to the underlying futures. FOPs only 5 years unfortunately. I subscribe to their world future data already, which is quite nice. Shame can’t get similar FOP coverage

Hello, I have been searching for EOD US future options data for a while. Need to go back as long as possible. I want to have trade OHLC, vol/oi at least. bid/ask OHLC would be nice. the greeks are not necessary, since I will be calculating the IV surface myself anyway. So far only found: 1)...