CBOE Variance Futures

How do I attach an XLS file here? Wanted to post the sample strategy, but for some reason it is not appearing!
 
Quote from sle:

Ok, here we go. Apparently, the file was too big, so now it is compressed.

Thank you sle for the detailed analysis and the invaluable explanations in this thread.
 
You are all welcome. I will try to continue tomorrow - I am stuck at home with a flu and need something to occupy my head.
 
Quote from sle:

You are all welcome. I will try to continue tomorrow - I am stuck at home with a flu and need something to occupy my head.

It was a horrible bug. I've had it for 8-days as it runs through the family. Astragalus extract works wonders, but it must be taken early and often. Echinacea is worthless with viral infections.
 
I have perhaps a noob question.

In the CBOE docs, there is some text that seems to explain that any "disruptive event" (defined in the text but essentially a flash crash or perhaps trading curbs depending on how you read it) will be excluded from the final calculation.

Is this of any concern with this product?
 
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