Expected Trading Opportunities

Spreads/Relative Value

Opportunity

Example

RealVol Futures  vs.  RealVol Futures

Trading between a pair of RealVol futures on the same asset but in different expiration months

Buy 3-month Oct sugar RealVol futures

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Sell 3-month Jan sugar RealVol futures

RealVol Futures  vs.  RealVol Futures

Trading between a pair of RealVol futures on a related asset but in the same expiration month

Buy 1-month Aug gold RealVol futures

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Sell 1-month Aug silver RealVol futures

RealVol Futures  vs.  Options

Between RealVol futures and options volatility (delta-hedged real-time)

Buy 3-month Mar 10-year U.S. T-Note

RealVol futures

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Sell ATM call and put options (short straddle) including continuous (real-time) delta-hedging with futures contracts

RealVol Futures  vs.  Futures

(correlation trade)

Using correlation between moves in the underlying and the RealVol futures

Buy 1-month Jun RealVol futures on an equity index

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Buy Jun equity futures

RealVol Futures  vs.  Variance Swaps

Trading between the exchange-traded RealVol futures and the OTC variance swap

Buy 1-month crude oil RealVol futures

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Sell 1-month crude oil variance swap

Arbitrage/Near Arbitrage

RealVol Futures  vs.  RealVol Futures

Trading between a pair of RealVol futures on the same underlying and with the same expiration, but different durations  

Buy 3-month Sep wheat RealVol futures

 

Sell 1-month Sep wheat RealVol futures

RealVol Futures  vs.  Volatility Swaps

Trading between the exchange-traded RealVol futures and an OTC volatility swap

Buy 3-month USD/GBP RealVol futures

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Sell 3-month USD/GBP volatility swap

RealVol Futures  vs.  Options

Between RealVol futures and options volatility (delta-hedged daily)

Buy 3-month Mar Eurodollar

RealVol futures

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Sell ATM call and put options (short straddle) including end-of-day (daily) delta-hedging with futures contracts


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