Hi,
I have a PM who in strategy1 wants to put on a long vega SPX Forward var swap v short listed vix future
In Strategy 2 he wants to put on long NDX forward variance swap v short vega SPX forward variance swap
So net he is short listed vix future and long ndx forward variance swap
He wants to book an internal OTC internal transfer for the long and short vega SPX forward var swap rather than trading with the street. He will be delta hedging in strategy1 and he feels booking an internal OTC transfer so that he can differentiate his delta hedging and not pay bid/offer on buying and selling in the same market.
Does this present any issues? Any thoughts on doing a trade like this with no counterparty, just internal contra accounts?
Thanks
J.