You want variance strike to be higher if the business day year fraction is lower then the calendar day year fraction. So, you want to divide variance by the business day year fraction and multiply by the calendar day year fraction:Quote from kapw7:
You use the formula: =C40/SQRT((D40*365)/((B40-A40)*252))
whereC40 is VIX, D40 is business days and B40-A40 the difference in calendar days. Not sure if it is the other way round? D40*252 etc
Quote from heech:
Yea, there definitely needs to be a "fix" here for commissions... Vision is looking at doing something custom for me, but based on my standard setup:
- Vision charged me $2.40/side in fees yesterday,
- FC Stone charged me $1.52/side...
So, for 1k vega notional, that's $100-200 in fees. Basic exchange fees should only be $8 (as you mentioned above). So... yea. Time to have a discussion with my FCMs.
No news at all. I pointed this out to my contact at the CFE, and he basically shrugged. I pointed out if they adjusted the tick multiple, this would also work.... Ie, $10/pt, but each contract priced out of 100 instead of 1000.Quote from blueplayer:
Helo Heech, I'm curious if you got any more recent information about coms.
There seems to be a disconnect between the CFE charging $8 per 1K of vega, and your FCM charging per variation units. If the costs were $2.40 per 1K vega then they would make a lot of sense, considering that 1K is the minimun tradeable size for this instrument.
I would really love to trade these contracts but only if the comms are sane.
Any information is greatly appreciated.
Quote from heech:
No news at all. I pointed this out to my contact at the CFE, and he basically shrugged. I pointed out if they adjusted the tick multiple, this would also work.... Ie, $10/pt, but each contract priced out of 100 instead of 1000.
My FCM is supposedly looking at this, but I'm not wild about having to negotiate custom arrangements at each FCM where I have a managed account.
I am really starting to think that CBOE does not know it's ass from it's elbow and that these futures will go the same way as the other "wounderful" inventions such as listed credit products for very dumb reasons. If they are hoping to win liquidity from OTC, they better be able to get MMs to show competitive markets (DRW showing a vol-wide variance market is a joke, I can show a tighter market in my sleep) and get competitive setups (if you gonna trade variance vs VIX, you would hope to trade at consistent commission levels, not pay 1000 bucks to trade a measly 100k of vega notional). One would expect that they would listen, but instead it goes "bla" every time.Quote from heech:
No news at all. I pointed this out to my contact at the CFE, and he basically shrugged. I pointed out if they adjusted the tick multiple, this would also work.... Ie, $10/pt, but each contract priced out of 100 instead of 1000.
My FCM is supposedly looking at this, but I'm not wild about having to negotiate custom arrangements at each FCM where I have a managed account.
Quote from heech:
So, can we call time of death on this product yet? The spread gets wider and wider, and fewer months are being quoted.
March is currently quoted at 9.75/12.80. That's real useful.
Exciting stuff! The key at the end of the day, of course, is how this stuff is ultimately quoted and traded. Look forward to seeing what we actually get.Quote from CPTrader:
From the CME:
CME launches on April 21, 2013 nine variance futures contracts:
https://www.google.com/url?url=http...PBvUYbdNqvh4AOAqoCICQ&ved=0CFkQygQwBQ&cad=rja
http://www.cmegroup.com/rulebook/fi..._variance_futures_on_currency_x3x_x2x_x2x.pdf
What do you think about the specifications of these contracts?