CBOE Variance Futures

Quote from kapw7:


For example let's say you have (in theory) a 100% accurate prediction model for the variance of the SPX500 over the 30 days to maturity of a var swap contract. However what you predict now very accurately will not be (?) exactly the "realised variance" on maturity based on the market definition for the contract

Anyway there is a lot of interesting and practical material in this thread and I am actually studying your example posts, so I would hate to derail it.
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I thought that's what you might have meant. If you have a way to replicate your version of realized vol, then with the var swap you have a perfect arb. Say for example, you are confident that if you delta-hedged your long option portfolio x times a day, your realized vol (aka gamma scalped gains) would be higher than the eod realized vol... You can sell the var swap and lock in your profits.

As far as derailing, I've been kinda concerned I'm derailing with my over pedantic posts. I'd just hope everyone keeps posting their thoughts / questions, we can all wade through and learn together.
 
talked to the same guy at IB today.. he told me to put in a ticket to request the product... he said to check back.. he also said that if enough people request it that they would surely make it happen... soooo if your with ib maybe it would help to put a ticket in..
 
So.. this thread kind of faded? New year, more interest I hope.

But I'm confused. A couple of weeks ago, I saw the bid/offer on this instrument quoted with size showing something like 25000/25000... which I understood to be the vega notional number.

Now today, I see it quoted with size of 1-5. What happened? sle?
 
Quote from cdcaveman:

none of us can trade it through our brokers yet.. and I can't find anyone offering it yet...
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I have no problems executing trades on it both on the screen and thru brokers, if I just understood it.
 
Quote from heech:

I have no problems executing trades on it both on the screen and thru brokers, if I just understood it.
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Im confused outside of the math what variance units represent.. and why are they even calculated... i have to think of things in some analogy to get it sometimes...
 
Quote from heech:

So.. this thread kind of faded? New year, more interest I hope.

But I'm confused. A couple of weeks ago, I saw the bid/offer on this instrument quoted with size showing something like 25000/25000... which I understood to be the vega notional number.

Now today, I see it quoted with size of 1-5. What happened? sle?
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Oh, okay... they just added a multiplier of 1000. See:

http://cfe.cboe.com/publish/CFEregcirc/CFERG12-056.pdf

People are going to be awfully confused when they place an order for '1' and end up with.. 97 futures contracts (at today's price).
 
The market for Feb VA was quoted around 13.90/14.80 all day... roughly a 90 cent spread. I've been bidding at 14.65 for the last hour, and the market maker isn't hitting me... so that's kind of unfortunate.
 
Quote from heech:

The market for Feb VA was quoted around 13.90/14.80 all day... roughly a 90 cent spread. I've been bidding at 14.65 for the last hour, and the market maker isn't hitting me... so that's kind of unfortunate.
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heech, what broker are u using?
 
Quote from sellindexvol66:

heech, what broker are u using?
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I primarily use Rithmic's trading front-end + CQG occasionally for manual trading. (Most of my trades are automated, but obviously not for VA.)

I execute at Vision currently. But really, any FCM that self-clears the CFE should be able to handle this contract.
 
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