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.


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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