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16*sqrt(1/252) ~= 1% You can't derive expected overnight volatility without some assumptions.

Ignore bobby. He doesn't know what he's talking about.

They will lose. There are investor lawsuits all the time. Everytime there is a company merger someone sues the selling company for accepting a price too low and someone sues the acquiring company for paying too much. There is a lot more to the coffee story. The coffee was seriously hot - way...

The redo came from firms that were taking the other side of their clients' trades. They couldn't collect anyway so they negated the debt for PR. They didn't have a liability on the otherside to fulfill so they incurred no real loss in the end.

selling vol in 2018 was a bad trade.

I think I got it. As the vol is going up and the XIV is losing value, Barclay's notional to hedge will be dropping as well. So while Barclays is short vol against their XIV they might actually be buying vol to cover the drop in notional and that would push the XIV to zero.

ETN's are the right way to trade this. For a small management fee you cap your max loss at 100%. You can set the leverage by managing the weight of the ETN in your portfolio.

I would only run this strategy through a structure like XIV or SVXY. You pay a small management fee but your losses are capped to the investment. If you do this yourself, your losses are unlimited. What if the VIX futures had rallied 200%.

that was my understanding as well. So the XIV is now effectively gone, but they are still short the VIX hedge which they have to buy back. Given that they are effectively running the table they might be profiting bigly by this.

Wouldn't CS be selling vol as a hedge to their XIV?

yeah. it's completely reasonable.

Etrade has blocked margin trading for all volatility etfs.

Oh yeah. It was one of those trades that look like a hedge on paper.

? The whole curve is up quite a bit.

Remember the MTV show, "My Super Sweet 16?" or how everyone wanted to be a professional poker player? That had to be the beginning of the end.

Why would you say that? It's not a dumb way to start a business. You pay 10% of your revenues to the parent co, but they provide you a supply chain, marketing, instant brand value, and training. Anyone who runs a proper business knows that there are a lot of components that make a successful...

That's Sam and aquarians. I will check out those papers. Do you know of a decent approximation for a varswap if I wanted to create the exposure synthetically with the listed strip trading the fewest number of lines possible?

I'm trying to mimic a varswap using the listed strip for trading purposes. Anyone have a good rule of thumb to simulate a varswap position using the listed strip. It's impractical to trade the whole strip. Just trading the 20 delta option will give you a reasonable level for the vol but not for...

I'll bet there are a thousand quants in Wall Street who are smarter than taleb, but few who are better at self promotion.

It's a trophy property. He can sell it to some other decabillionaire.