<t>I’m not asking someone to do my work, I don’t have a great mathematical background to understand, the white sheets. Did you really google my name? I pity you should you be so pathetic to google a blogger’s name. Would you like a gift basket, or maybe we should become myspace friends and start a c...

Does anyone have a numerical example of how to calculate the VXX index?

Well it will only have one price a day, and no tradeable underlying as I understand it. So the inability to actively hedge would have some affect on the pricing of the option I would assume, no?

Does anyone have publications?

<t>Details are:The CBOE is planning to trade options on the S&P 500 Dividend Index (“Dividend Index”). The Dividend Indexrepresents the accumulated “ex-dividend” amounts of all S&P 500 Index components over a specified quarterly“accrual period.” Each accrual period runs from the business day...

They are looking to begin trading options on S&P 500 dividends, how or what would these be priced off? Everyone just using the optionmetrics dividend stream?

http://cfe.cboe.com/education/vixprimer/Features.aspx

So what are people using to effectively hedge rho risk now???

Any numerical example on how to price the future?

<t>Does anyone know anything about the relationship between VIX futures and the strip of options which would replicate them in regards to convexity? I've noticed that the futures trade below the implied prices from the strips of options and was just wondering if anyone could lend some light on this ...

Let's say it is a two year swap you're trying to replicate. Clearly, the 1yr and the 1yr swap starting a yr from now can be used to price it. I am wondering A) At the end of the first year do we have to buy more of the second yr? B) If so, how much?

Does anyone have a numerical example, or basic example in excel that the pricing of options on variance swaps?

Does anyone know of a mathematic relationship between ATM implied vols of various expirations?

Which volume is that? Can I just buy the specific book?

Anyone know of how one would calculate vol of vol to price an option on a variance swap?