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VXX is an excess return index ETF, so as you go along you will be bleeding the rolls (i.e. paying for risk premium). The whole excess return thing makes understanding options on VXX (which are now trading) a bit more difficult too. Cash settled. You could have googled that. VXX only rose...

how about 3% * sqrt(20)?

Why didn't you just cover delta?

do you think trading flys in high frequency mode is a viable strategy? e.g. if you see the fly dislocate after the number, you recieve/pay via futures

Well, what you are saying is that in yout view, current skew does not reflect the actual dynamics of realized vols (skew is cheap). If you truly believe that you should put on either a risk reversal or, better, a long VIX futures against a delta-hedged fixed strike option (assuming your pb...

VIX is not actually implied volatility, it's a variance index. You do understand that a VIX futures position and an option position are two very different animals, don't you? Nobody is denying negative correlation between implied vols and the index, however looking at the level of VIX to...

The invisible hand of the market can't compete with the fist of the Fed.

Dude, did you actually read what I wrote? Most of the "correlation" you are seeing is due to VIX being calculated off different ATM strike. Go make an index that is skew adjusted and you will see that for yourself. Or look at implied volatility at a single strike and see that it's far less...

Most of the daily movement in VIX is movement of spot across strikes and only a small fraction is actual change in vols (reset of implied higher or lower). You can easily prove it to you yourself by looking at changes in fixed strike volatility (e.g. look at IV for Dec 1225 strike) vs changes in...

West coast is short about 150k of the wings, they pretty much dominate these strikes. It also worth noting that they are not selling gamma across the curve, but rather in TY only since it has proven to be the most volatile yet one with the the most AC.

I would actually extend this statement to any securities pricing - anyone who would say "arbitrage" about anything liquid...

yes, you can implement the brownian bridge to get simulated intra-day levels... now, the real question is - what exactly are you trying to do?

do people actually live in Sweeden? :)

If anything, 5s10s30s in bonds does look a bit out of place - last time we hit these lows was right before the Fed and it bounced pretty hard.

Erm, off the top of my head: CTD for Long Bond is around 16 years (2026). Ultra Long CTD is roughly 25y (2036) at the moment. You could construct a 2s10s30s proxy by trading dv01-weighted amounts of each (that is, tu + ty + us + wn), but that gets way too complex. Truth is, if you are...

I have taken a job overseas about three months ago, but don't want my registrations (7/63/55/3) to lapse. Are there any shops out there that would allow me to park these for a few years for a modest fee? Thanks a bunch.

If you actually make the strike axis ln(K/F)/sqrt(t) enlightenment will come to you.

It's less of a liquidity premium and more of people being more conservative on things that not as transparent. Liquidity in the exotics market is a bit of a web of deception - you might see something in the brokers market but then the bid/offer will dissapear or they would do it in micro size...

Does not really matter and the distinction between exotics and vanilla is pretty blurry. Are you asking a philosophical question or you're asking how the exotics market works? On a "holistic" level, any desk that is very far off market should and will realize that something is wrong and will...

Duh, the values better be spot on market, otherwise the desk has a big problem. What is different in "proprietary" models is the treatment of the greeks, which is far more important.