http://www.solver.com/

Have a look here, http://www.ipathetn.com/pdf/vix-prospectus.pdf

Hi all, I was reading the paper 'A Universal Performance Measure' by Keating and Shadwick. I was wondering how to optimize a portfolio based on omega. Anyone know how to do this or has a paper on this subject?ThanksRaver

<t>2/ is still not clear to me, in this example the Nb options = %Spot Notional/ Spot. The %Spot Notional = weight x variance notional = 1.10E-5 x 1,388 = 0.15268. Let's assume S(T)= 100% then you would get Nb options = 0.15268/ 100% = 0.15268 call.This seems a wrong amount of calls to me, if you do...

Getting back to replication a varswap, it gives you a constant vega exposure over all the strikes but what about your theta? A move in the vol can move your way but the theta will eat up all your profits. So you can be right but be wrong in the end, right? Or am I missing something?

Hi Micha12, it will be hard to get free historical option data, reasonable priced data is available at www.ivolatility.com Regards,Raver

<t>Thanks for your tips. What I want is a vega position that moves with the same vol as the VIX index, there is the varswap or an ATM straddle with delta/gamma hedging. It is hard to get my hands on OTC varswap data to test this if it has the same vol. We are talking about roughly 85% long term vol ...

<t>Hi all,Looking at a trading strategy based on the VIX index, what would the best way to execute that strategy? I looked at the VIX futures but their volatility and correlation do not match that of the VIX spot. I would prefer using varswaps instead because of the thighter spreads and liquidity.Wo...

Does anyone happen to know if var swaps have the same vol as the vix, or does it have a lower vol?Thanks

Hi there,Could someone tell me what the average spread is in a variance swap on euro indices? For example is it something like 144 - 146 for the DAX? And what is the minimal notional size for such a swap? 10,000 euros per variance point?Thanks in advance!Raver