Volatility Arbitrage (?)

I don't know how big the bid-ask spread is in VSTOXX futures, but this chart based on Jul 6, 2010 prices from the two markets should make you think about putting on some trades. Coming soon - vol skew comparison between the options markets.


Edit: VSTOXX spreads are about 0.5, VIX spreads are about 0.1.
at

No comments:

Post a Comment

Subscribe to: Post Comments (Atom)

Weekly market report

Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...

  • Simple Trick to Convert Volatility
    As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake - Putin's goal ...
  • Volatility and Price of a Straddle, Are They The Same?
    Yesterday I found another piece of ignorance on Medium: Stop Watching The VIX, Just Make Your Own tl;dr : Just use ATM straddles 🤦 This is...
  • DVOL Futures
    The biggest news this week is that Deribit is moving ahead with launching futures on their DVOL Bitcoin volatility index. Like with every ne...