CBOE Variance Futures

Quote from newwurldmn:

Will your prime broker quote you variance and then cross on the exchange. I don't know if you can even cross but I bet that's the only way you can trade it.
More...
Not sure what you're referring to. There's an active market being made on this instrument.
 
Crap, I just thought of something. The commissions on this thing are monstrous! $1k vega notional = 90 contracts!? If I'm paying $3/side all in, that's almost $600 for a RT, just for $1k vega notional. That's insane.

What do you guys think the solution is?

EDIT: think of it this way; face value of each contract is $800. Is there any other futures contract in remotely the same range? Everything else I trade is $20-80k face value.
 
Quote from heech:

Not sure what you're referring to. There's an active market being made on this instrument.
More...

17 contracts traded in the feb line. Your prime brokers Equity Derivs desk, probably traded 1MM+ of vega today OTC. They might make the market or work an OTC swap on your behalf and then trade the future with you (so you don't have to sign an ISDA).
 
Quote from heech:

Crap, I just thought of something. The commissions on this thing are monstrous! $1k vega notional = 90 contracts!? If I'm paying $3/side all in, that's almost $600 for a RT, just for $1k vega notional. That's insane.

What do you guys think the solution is?

EDIT: think of it this way; face value of each contract is $800. Is there any other futures contract in remotely the same range? Everything else I trade is $20-80k face value.
More...

I guess this is very volatile product, therefore gains/losses per contract should be much higher than $6. $800 contract is about half of the size of mini vx.
 
Quote from heech:

Crap, I just thought of something. The commissions on this thing are monstrous! $1k vega notional = 90 contracts!? If I'm paying $3/side all in, that's almost $600 for a RT, just for $1k vega notional. That's insane.

What do you guys think the solution is?

EDIT: think of it this way; face value of each contract is $800. Is there any other futures contract in remotely the same range? Everything else I trade is $20-80k face value.
More...
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 more of a multiplier. E.g. if you have traded 8k of notional, you can expect that your daily P&L would be somewhere around 8k to 16k (one to two vol points).
 
is there no number you can look at and say this is going to be a constant quantity i'm going to own and this is the price i paid on it.. variance units, vega notional, etc.. quantities that change in time and need to be adjusted such that you can figure out how much you have gained or loss.. very counter intuitive.. i'm the "retail" newbie trader and i just can't wrap my head around it...
 
Quote from sle:

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 more of a multiplier. E.g. if you have traded 8k of notional, you can expect that your daily P&L would be somewhere around 8k to 16k (one to two vol points).
More...
Not sure what vol of vol is, but 1-2 pts a day seems generous. Compare it to, say, ES futures... To get $10k of daily P&L (assuming 15 pts daily range), you probably need just 10-15 contracts, versus 700+ VA futures. That's a serious difference in commissions.
 
Quote from cdcaveman:

is there no number you can look at and say this is going to be a constant quantity i'm going to own and this is the price i paid on it.. variance units, vega notional, etc.. quantities that change in time and need to be adjusted such that you can figure out how much you have gained or loss.. very counter intuitive.. i'm the "retail" newbie trader and i just can't wrap my head around it...
More...
The only way to get this number is to download the calculator from the CFE website. You can plug in hypothetical values for implied + vega notional, and get back precise numbers in terms of futures + price.

But again, unless I'm wrong about commissions on this thing, then this seems dead on the vine to me. (Vision is studying it for me.... We will see if they can give me penny commissions or something to make this worthwhile.)
 
Quote from heech:

The only way to get this number is to download the calculator from the CFE website. You can plug in hypothetical values for implied + vega notional, and get back precise numbers in terms of futures + price.

But again, unless I'm wrong about commissions on this thing, then this seems dead on the vine to me. (Vision is studying it for me.... We will see if they can give me penny commissions or something to make this worthwhile.)
More...

one day i'm going to need a two way conversation with someone that can really explain it to me... i appreciate your help.. i' m just still in the kindergarten when it comes to all this :)
 
You must log in or register to reply here.
Back
Top