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Jun 11, 2015 at 21:22 comment added pyCthon Would the same work for the 3 month VXV simply by changing the 22 to 64?
S Oct 9, 2012 at 1:18 history suggested Victor CC BY-SA 3.0
Used Larry William's Highest(...) function instead of max(...) that can lead to confusion.
Oct 9, 2012 at 1:12 review Suggested edits
S Oct 9, 2012 at 1:18
Feb 4, 2011 at 16:25 vote accept pteetor
Feb 4, 2011 at 16:25 comment added pteetor @shane I accepted this answer because the discussion helped me sort out the realities of the situation. Thanks for your observations.
Feb 3, 2011 at 17:07 comment added pteetor @shane LOL ... literally.
Feb 3, 2011 at 16:49 comment added Shane @pteetor + $\infty$
Feb 3, 2011 at 16:45 comment added pteetor @shane Thanks, Shane. At this point, I think an experiment is in order. I will simply trade my proposed synthetic on a (very) small scale, monitor the results, and hope to learn from the outcome. In the words of Robert Stovall, "Selling a soybean contract short is worth two years at the Harvard Business School." It's time to get some hands-on experience.
Feb 3, 2011 at 15:55 comment added Shane @pteetor Just to add one final comment: I think that you've already listed the primary vehicles (futures, ETF's) for this. Short of either (a) doing a swap or (b) developing an algorithm, I think that you may be out of options. :)
Feb 3, 2011 at 15:49 comment added Shane @pteetor Great point. I have heard of short term strategies that trade the S&P that replicate this, but I'm not going to venture into how that can be done (assuming that it's even desirable). My other suggestion: you would need to be an institutional investor (with an ISDA), but you might be able to do a variance swap with a bank based on the VIX.
Feb 3, 2011 at 15:43 comment added pteetor @shane Nice work! Thank you for such a detailed reply. I've seen the VIX Fix before, and I like it for markets where no one publishes the daily implied volatilties. The problem here is that I cannot trade the VIX Fix either, just like I cannot (directly) trade the VIX itself. I'm looking for a tradable synthetic, leading to opportunities for spreads and out-right positions.
Feb 3, 2011 at 14:59 history answered Shane CC BY-SA 2.5