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i bought the apr/may/jun fly @ -0.20

the spread looks very wide relative to the rest of the curve and is above historic averages for this part of the curve. atticus, you seem to have an opinion on it.. can you express it?

I see no prob with what sle said- i work on an OTC desk and thats where i learned the lingo. I dont think sle needs recognition to feel his post mattered. If you have nothing productive to say on the topic of the thread can you please stop posting here

you're right. thanks all for clarifying the notation. now that i've got everyone's attention... are there any opinions on why the jun/jul spread is the widest 1m spread on the curve?

i'm aware of #1 and #2, no one seemed to have a problem w my notation here, but i will agree with you on the fma part, that would be confusing. i will state the months or use the month codes going forward. your credibility is tarnished by statement #3. if you are actually "now upstairs...

i did list them in order, but i just used month names (fma feb mar apr). if its not clear ill just type the months next time. to question #2 the spreads can move in increments of .01.

i sold jun/jul @ 0.86 anyone have any thoughts on that part of the curve relative to the rest? im curious how others are viewing it.

here are two useful papers. older by GS: http://www.ederman.com/new/docs/gs-volatility_swaps.pdf newer by JPM: http://pcj-gonfroy.com/PCJ_G%C3%A9Rant/09%20BaR/VarSwaps.pdf

you're on the right track. yes the implied is derived from the underlyings option market. i think you need to go one step back... how would you price a variance swap today to date x? simplistically you would look at the implied vol for the underlying until date x (which is why the var swap...

I just realized my post repeats what sle said a page before.. sorry bout that.

Cdcave, implides do matter if youre trading in and out before expiry. As you approach mexpiry the contract should converge to its fair value, or the realized vol over the determination period. Does this make sense? Hope this helps u think about it

are you still planning to get this on today? just curious - im interested

has anyone put an order in on these yet? spreads are wide and volume looks nonexistent... but just curious

thx guys. i don't think my timing was so good- but honestly i didn't like the outright jan, nor the april may, so i really just wanted out.. i've been looking to find a good level on the jan/feb... almost got in 2 days ago around 0.90, but now its just ran away and i dont want to chase...

i'm flat. sold jan @ 18.45 (basis of 16.65) sold apr/may @ 0.60 (basis of 0.74) pnl journal to date is 9.7%

i closed the fly today. honestly, i dont think the execution was the greatest, but i don't see the same dynamics in my favor as i did when first entering the position. i put the fly on at -0.07 through the life of the trade it went as low as -0.25 and as high as 0.14. my target was 0.30...

they blocked this at my shop too... i requested an exemption. hah

agreed - thanks for the sheet

i havent looked on IBTWS yet, but i see it on bbg. any idea why it shows the jan settlement at 764.16 (27.64 vol strike) but shows quotes at 16.15/16.45 25k x 5k? when would it even have traded with a 27.64 strike if it was listed dec 10?

today i lifted a jan vix mini at 16.65 and got hit on the apr/may switch at 0.74. current position: long the jan mini long the belly of the feb/mar/apr fly long the apr/may switch *edit* i'm going to just keep my pnl as % to date instead of in vol terms.. at first i thougt that...