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Vega = Shares Outstanding * Share Price * Leverage / 1m Constant Maturity VIX Future Alternatively, Vega = Current Market Cap * Leverage / 1m Constant Maturity VIX Future e.g. Leverage = 2 for TVIX, 1 for VXX Net Vega = Total Long ETP vega - Total Short ETP Vega


Yes,there is. Key is how long you want to go back/need Educational If you are a student you can get the data from your school if you have access to a database known as WRDS (Wharton Research Data Services) (They have OptionMetrics) Other educational sources would be Thomson Reuters Sirca Tick Data and Bloomberg. Non Educational Nanex Historical ...


Normally not, or even if - that would get you into trouble, since you'd have to drop the i.i.d assumption of residuals and then you could basically use almost no estimator anymore, for any moment. Even if and you could decompose into something like $f(t) + X_t + Y_t$, where $Y_t$ i.i.d, $X_t$ some dependent stochastic process and $f$ a deterministic ...


Let's assume T=1 and let S be a geometric gaussian process with zero drift, i.e. $\ln(S_1/S_0)$ is normally distributed with mean $-1/2\times\mathrm{VEV}^2$ and volatility VEV. Then $$\ln(\mathrm{VaR}/S_0) = -1/2\mathrm{VEV}^2 - \mathrm{VEV} \times 1.96$$ with the VAR at $0.975$ quantile. This is a quadratic equation in VEV, with solutions $$\mathrm{VEV}...

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