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Actually, it's simple enough - in a regular variance swap, variance units relate to vega notional as Var Units = Vega Notional / ( 2 * Variance Strike ) In futures, to keep vega consistent across time as in a seasoned variance swap, you need to rescale it by the ratio of total effective days...

I don;t know how the transaction fees are going to calculated on these things, that's a valid point (if the CBOT idiots wanted retail participation, they should have thought of that). This said, it's a swap so thinking of Vega notional in terms of face value is not right - the Vega notional is...

What exactly do you mean by "net premium seller"? You can be a seller of risk premium and yet be long premium (or vice versa)/

Not really fungible but convergent - at expiration they will produce the same P&L for the same strike.

They made the thousand multiplier implicit.

Sorry, was tied up and could not follow this thread. Not going through your calculation, you can think as follows - the influence of the daily move is simply 1 day variance (log return squared) is equal to the 10,000 * units * (realized^2 - strike^2) / days. Lets say you bot 20k vega worth...

Well, unless you are doing some sort of relative value. However, as you rightfully pointed out, it's a much lower return on capital kind of trading.

In options, you have three choices - you can trade direction, you can trade terminal distribution or you can trade volatility in the risk-neutral setting. I do the last two and leave the pure directional trading to people who can call direction better.

Commissions are a known cost while a price improvement is something nebulous that every flow seller will dangle like a carrot by your nose. OP, out of curiosity, what is your p&l to commission ratio? 5k contracts per month is a lot on a million dollar account, am I reading you correctly?

I think the problem is with the original question. Simply collecting theta should never be a reason to sell convexity. To simplify, you are most probably selling an option for one of few reasons: A. you have a directional view on the stock B. you think that implied volatility is too rich C...

The fact that she was lucky enough to not have a disastrous position previously does not mean that she will not be there in the future. It is Russian roulette - she might not have hit the right chamber, but sooner or later she will. Except, of course, since it's a "fund" the unlucky investors...

Go to the variance futures thread and find the strategy spreadsheet.

I was posting from a phone and did not see the other posts so I did not mean to kick you while you are down.

i was trying to write bot a straddle, short a strangle - it's a fly-like payoff yet, the "value" is in the belly.

(1) VIX is not a commodity, it's volatility product. Three-letter month "codes" are actually more common, nobody in the general vol world would actually refer to Dec variance as "Z13" var (if anything, it's Dec for front December and DecL for next December) (2) again, the belly of the fly is...

In single stock, IV/RV ratio is frequently misleading - high IV to RV ratio can be indicative of an upcoming event, while low IV to RV ratio can mean that an event has just passed and there is nothing to worry about.

True. However, a 120k salary in Ohio is way better then 250k in the New York City. I literally think that the "exchange rate" is 1:4 or so.

That's true about most dynamic professions. I, not being a programmer by trade, have used 10 or so programming languages in the last 15 years and that is on top of learning new models, new products etc. Once I moved to prop, it's only gotten worse - your only skill is ability to learn and...

H1B is much broader then IT - when I just started in this circus, I was here on a H1B and was an exotic derivatives trader for an investment bank. I was involved in the compensation process for the trading support at two places (once you get senior enough, there is not much you can do to...

There are doctors (top "crust"), physician assistants and various people with masters degrees that sort-of make medicine happen, nurses, paramedics etc. All of them are "medical professionals", but not all of them are making 200k a year. Similarly, when someone is called a programmer, it can be...