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the infinity Q story is weird. there shouldn’t be that much dispersion between prices on the positions. i do L3 sometimes on a lot of portfolio but for a var swap that has been live already you should be able to use a composite of dealer-marks thats pretty close
Can’t link directly but see @LadyFOHF responses in this thread, speculated that they are bespoke bilateral swaps where only one dealer could/would make a price. Still sketchy as hell but maybe explains why it will take them days to cut a NAV.https://twitter.com/macrocephalopod/status/1364150892933623808 …
ok that makes sense kinda but only when you are past unwind decision, otherwise you can net it with another dealer and side-pocket the position for the remaining life of swap. there’s something else we dont know here. like, why L3 in the first place? its a paperwork nightmare
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