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So, is that basically what vol.arb is all about? What do vol.arb traders/funds usually prefer? slow bleed? Now, those 2016 straddles suddenly make sense to me!

Do you think an end-of-day historic database made of settlement prices provided by the OCC would make some sense? I was told that settlement prices are sort of "fake", misleading, because that is not the market doing them (bid/ask), it is just the clearing house. That made me think about.

I have seen that VIX futures are in contango >80% of the time. So, dealing with short term contracts might turn out to be really difficult, being either long or short! Time decay is going to affect my long position whereas a (sudden) raise in volatility will destroy short positions. Do you...

I understand that trading long straddles involves buying both calls and puts so major time decay to suffer as well as major vega exposure, am I correct? Calls/Puts delta hedged with futures looks more like a vol.arb to me. Yet, sometimes there are not long term futures listed on the...

I am sorry, I am new to this; delta hedge it with what?

That is easy! Delta is always 1 and there is not vega, theta etc...so in a synthethis straddle one leg in not affected by time and volatility

Well, I have heard that many investors dropped their ETN/ETF VIX positions over the past few months. That must have made the VIX futures drop down as well; since market makers are hedging them with $SPX options, VIX spot must have droppeddown as well and the SPX index is behaving accordingly...

Both options and futures base on equity index (cash market) So for example ftse100 options and ftse100 futures. My goal is to set a delta neutral portfolio made up of options and futures. Following the rule behind a simple binomial tree to price options...

Hi, I read the first 25 pages and wanted to ask what about long synthetic straddles on mid-term expiry? The goal here is to create a delta neutral portfolio made up futures and options. Say an ATM put has -.5 delta to create a risk free ptf I will buy 1 future (+1 delta) and go long 2 put...

Suppose I want to calcuate IV and greeks for a long maturity option, like DEC14, I understand providing the current spot price in the bsm formula might turn out to be a bad idea. Also, consider there is not a DEC14 future trading, what can I do? I thought that maybe the option itself is pricing...