Trading realized variance using listed vanillas

27 Aug 2018

Article by: Alberto Cherubini, Trevor Samols
Published by: Automated Trader Magazine, Issue 40
Date: Q3 2016

“Listed futures on VIX and its cousins give exposure to implied variance. But getting exposure to realised variance is very different and usually has been the realm of OTC variance swaps. Here we examine strategies to trade the realised variance using only listed instruments, with simple time-independent formulas not requiring models such as Black-Scholes.”

Full article: Link

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