variance swaps ?

[stochastix]

i have on my todo list ''bootstrapping..' but SMID didn't show up in my jargon file. what is that?

what is smids?

 

[longandshort]

Small and Mid caps. It’s an ugly amalgamation.

check with @Same Lazy Element but less liquidity in those stocks should present more of an opportunity. I’d go the custom index route using value chains to categorize the type of firm (instead of a simple gics approach) before bootstrapping. Start with a small and clearly defined industry like aircraft component mfg’ers.

 

[stochastix]

Small and Mid caps. It’s an ugly amalgamation.

check with @Same Lazy Element but less liquidity in those stocks should present more of an opportunity. I’d go the custom index route using value chains to categorize the type of firm (instead of a simple gics approach) before bootstrapping. Start with a small and clearly defined industry like aircraft component mfg’ers.

Thanks @longandshort . I'm not sure how I can roll my own.. that requires dynamic hedging.. will not transaction costs eat that up? variance swaps cannot be replicated with a static set of options I thought