1/ Learned a lot about variance swaps by reading through 's awesome paper. This inspired me to replicate a variance swap term structure for #BTC by using options data from .
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I think the MOVE contracts without strikes (ie: BTC-MOVE-2021Q1) somewhat resemble a variance swap - it's like trading pure vol. This is what I gathered from my convo with a highly sophisticated trader in this space who suggested I explore this analysis.
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