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Opportunity
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Example
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VolContract Futures v. VolContract Futures
Trading between a pair
of VolContract futures on the same asset but in different expiration
months
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Buy 3-month Oct sugar VolContract futures
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Sell 3-month Jan sugar VolContract futures
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VolContract Futures v. VolContract Futures
Trading between a pair
of VolContract futures on a related asset but in the same expiration
month
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Buy 1-month Aug gold VolContract futures
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Sell 1-month Aug silver VolContract futures
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VolContract Futures v. Options
Between VolContract futures
and options volatility (delta-hedged intraday)
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Buy 3-month Mar 10-year
U.S. T-Note
VolContract futures
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Sell ATM call and put
options (short straddle)
including continuous (intraday) delta-hedging with futures
contracts
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VolContract Futures v. Futures
(correlation trade)
Using correlation between
moves in the underlying and the VolContract futures
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Buy 1-month Jun VolContract futures
on an equity index
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Buy Jun equity futures
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VolContract Futures v. Variance
Swaps
Trading between the exchange-traded
VolContract futures and the OTC variance swap
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Buy 1-month crude oil
VolContract futures
~~~
Sell 1-month crude oil
variance
swap
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VolContract Futures v. VolContract Futures
Trading between a pair
of VolContract futures on the same underlying and with the same
expiration, but different durations
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Buy 3-month Sep wheat VolContract futures
Sell 1-month Sep wheat VolContract futures
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VolContract Futures v. Volatility
Swaps
Trading between the exchange-traded
VolContract futures and an OTC volatility swap
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Buy 3-month USD/GBP VolContract futures
~~~
Sell 3-month USD/GBP
volatility swap
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VolContract Futures v. Options
Between VolContract futures
and options volatility (delta-hedged interday)
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Buy 3-month Mar Eurodollar
VolContract futures
~~~~
Sell ATM call and put
options (short straddle)
including end-of-day (interday) delta-hedging with futures
contracts
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