Another Vol Arb Mutual Fund

Recent press release from Franklin K2 Alternative Strategies Fund (Canada) shows that one of the sub-managers trades volatility arbitrage strategies. There are four "candidates" and googling suggests that Basso Capital Management is the manager running volatility strategy. Performance of the fund has been lackluster, and management fees are quite high.

Dr John Nash Dies in Crash

Dr John Nash, who made pivotal contributions to game theory and differential equations was killed on Saturday in an automobile accident with his wife Alicia. He received a Nobel Prize in economics for his work in the theory of non-cooperative games. Nash equilibrium has been applied to modelling company merges and takeovers, portfolio optimization, and algorithmic trading.

Bloomberg article.

VIX Weeklys

VXST options looked like a great product on paper - cheap, short term options, massive mean-reversion, huge gamma -  however trading just did not take off. Now CBOE is trying different angle - similar to regular weeklys, the exchange is launching weekly VIX futures, and weekly VIX options. To clarify - these are not weekly options on VXST, they are not weekly futures options (like CBOE proposed some while ago). These are options on the VIX index, just with more frequent expirations.

Officail product page. Hat tip to Nakul Nayyar.

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...