Tuesday 6 February 2018

Selling variance swaps

Today's discounted offer: sell 1 yr variance swaps if the pricing is in the 30s yet and then benefit from realised vol collapsing over the next few months and the convex swap payoff.

https://www.zerohedge.com/news/2018-02-05/it-traders-panic-xiv-disintegrates-after-close

If you own the XIV etf you have to ask how it disintegrated post-close, did CS traders rig its demolition and buy its postions at cents on the dollar in the aftermarket? It was a $1.2bn etf...




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