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I feel it in similar way. I think that it's better to convert a position in VIX futures into some "phantom" position in set of options (where counts are dynamic, gradually changing in timeo_O) at many many tradable strikes, and analyse it together with portfolio of options, where your firm is...

I may mistunderstand the thesis about "standard models", but if you're using vix futures for other products - yes, you just taking futures prices from market. I mean trading that futures from a dealer/MM side.

you can't use arbitrage-free replication, you can use some approximation with limited set of options in practice. relating to enterprise MM software I wanted to see how that "computation" of vix futures vs portfolio of options is working

I'm trying to figure out how to MM vix-like futures from a modelling perspective, speed is the next problem after that.

I'm not a big practitioner in pricing vix futures, through I can suggest that sources - 2 articles "more than you wanted to know" from JPMorgan and GS guys, they're fine in explaining the origin of variance swaps, their idea for accurate volatility bets with constant gamma, their easy static...

I want to understand, to see on the demo, how it works. What models and approaches are commonly used in volatility futures, and how it is all hedged and replicated in enterprise trading systems... What functionality and typical User Interface cover it...

it's not a problem, we can find partners in some country, with low AML risk also.

Yes, it's very expensive.

Hello everyone. I've seen some topics on this forum about "options market-making software" that allows modeling, pricing, and quoting with some off-shelf software. I'm interested is there any commercial software for pricing, quoting a volatility futures (for example VIX futures or VSTOXX...

I think it's a question of some local networking to dive into how it all works here (starting from registering a firm and so on). As I understand India have a very big options market so there are a lot of sharky firms here, for example somebodies okay to pay 500k annual to CME for memberships.

That would be fine, but I can't choose this broker.

Hello. I'm looking for a broker that - accepting international clients (outside North America and Eurozone) - allow to trade multi-leg option combos on US stock/ETF (smth. like SMART order routing) - have a gentle min. commissions/service fees for a small deposit (below $50k) Also it will be...

Haha, I'm not an insider can watch the flow. Ideas come from simple fundamental understandings, like profits of gold miner depends on price of gold, or WTI crude oil correlates with Brent crude oil and etc. Yes, you've got my idea - I'm looking for the way of "fundamental" learning, what...

Hello, I'm looking for literature with ideas about risk management in statistical arbitrage (or pairs trading) approach. How to identify possible "red flags" or fundamental shifts, suggesting significantly reduce or liquidate positions... How to to set optimal risk limits, define strategy stop...

I'm sorry, may I update this quite old topic... What variants there are to connect C#/Python standalone trading application with CQG WebAPI/FIX API without paying too much money for that? I know only Sierra Chart, where it's possible to integrate my app with them through DTC protocol and use...

In barchart platform you can see it as TG: TGF22, TGG22, TGH22 and so on.

I think so too. Probably it's better to start with something simpler, than hedge fund in offshore jurisdiction.

Why don't to calculate classic Sharpe, Sortino or Calmar ratios and measure performance with them

Yes, of course, it's interesting market. Although I haven't free 'buying power' to do smth here now, may be after winter look at it. I'm a little impressed with trading spread till expiration, for example how Nov'21 future jumped to the price of Dec'21 in last day, but I think no one broker...

That's fine, but with Nat. Gas options I have 2 choices: 1) trade not so liquid ON options, that expire into NG futures, so I can close ITM options with very liquid NG futures. or 2) trade much more liquid LN european options. But I can't close them by buying or selling NG futures (or I should...