Is anyone aware of lawsuits against Bafin/Porsche ?

IMO, it will very much depend on how the stock moves down to 99, if it goes slowly over a couple of weeks the vol will remain around 10% (previous ATM vol) but if it goes down in one day you should be trading around 11%.

<t>I agree with Donyoshi, but if you are a fund of hedge funds and you don't know all the underlying positions of the hedge funds you invest in, the only way of limiting liquidity risk is by minimising correlation of returns. Of course this is not a measure of liquidity risk but is there any? If you...

<t>in my very modest opinion, why would E with zero vol be a T-bill ? what is the vola of a T-bill ? surely not zero, Bund vols have been trading in the 4 to 5% range, and equity vols (even when diversified in a basket such as S&P, DAX) should always trade at a multiple of state guaranteed bonds...

erstwhile, thanks for sharing your thoughts and all your comments!! I will have a close look to variance swaps for any mispricings...

<t>ertswhile, May I ask you another question...what is your feeling on the current vol levels? (increasing since yesterday) but then the longer term for the year? Vol has come down a horrible way, and I will admit that I got crushed since the beginning of the year... what I find unbelievable is the ...

<t>I am using IB for their API and some test trades, but then execute the biggest volume through a direct access (via a sort of trading arcade).It all depends on what sort of volume you expect to trade... If you intend to trade more than 50,000 contracts per month, I would guess that if you compare ...

erstwhile,do you mean that variance swaps are quoted on all underlyings of EuroXX50? for the dispersion trade you will need those as well, I suppose, or do you only take away the drift risk on the index side?

I believe it is used for callable bonds at the "makewhole price". The makewhole price is equal to the max of the par value or the net present value of the remaining cash flows discounted at risk free rate plus a premium.

<t>to follow up on ckc's comment,As the idea is to show that the statement is not true, you simply need to find an integer Z within N where Z^(1/b) is not an integer, where ban integer >1.Take Z=b thenC= b^(1/b) is higher than 1 (because b >1) C= b^(1/b) is lower than 2 because 2^n > 2 for any n>1 s...

<t>This is not looking like any option, no strike price here, as in time 2 you are going to invest at the NAV2... Then the only pricing you could envisage is modelling the random walk: average return, volatility, autocorrelation... and consider hedging your bets with some portfolio insurance (see th...

<t>I completely agree that leverage is a useless measure unfortunately it is widely used...I would argue that you should look at it on a gross basis, because even if correlation is 1 (say you have a reversal on), by entering in the trade you effectively create additional leverage on your capital as ...

<t>the comparison with a whore is perfectYou do not want to outsource the quant finance aspect your trades , and I am not talking about the poor guy who got the job of writing some useless financial function in Excel or VB, I am talking about the genius who is creating, analysing, simulating great n...

isn't your problem more a question of which basket of assets (mutual funds in your case) you want to have in your portfolio in order to minimize risk (here your measure is volatility of returns) ?

the correct dividend data is certainly difficult to find...but on point 2. don't Americans have more holidays when you take into account bank holidays?