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Brian Gilbart  

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  • VIX to VXV Ratio Nears All-Time Lows [View article]
    Great article; one, because it was well researched and written, and two, because not a lot of coverage is given to the VXV Index.

    One correction, you said that spot VIX is derived from SPY option prices: this is not accurate. Spot VIX is derived from a series of one and two month CBOE-listed European cash-settled SPX options.

    As for trading the contango, being short vxx is not the same thing as being long xxv. There is no free lunch, but there is cheap lunch!
    Dec 24, 2010. 09:38 AM | Likes Like |Link to Comment
  • Can Nonfarm Payroll Futures Predict the Future of the Market? [View article]
    I just pulled this contract up on TT for August and I do not see any bid/ask. I also don't see any open interest or volume for august, either in futures or options. So basically, I like the product but there's literally ZERO liquidity.... on to the next product.
    Aug 4, 2010. 02:53 PM | Likes Like |Link to Comment
  • Opportunity in VIX Futures [View article]
    I'm not sure how 'vix switch trader' defines the units which makes him flat (i.e. 0 weighted) vol, but it seems to that a safer structure to capitalize on this vol reversion may be something more along the lines of a futures butterfly (short nov, long 2 dec, short jan). I'm not sure how far out the liquidity runs in those futures, but I do agree that a simple short nov, long dec has much more risk than you seem to be factoring in. I still like the premise and the observation.
    Jul 4, 2010. 12:12 PM | Likes Like |Link to Comment