10/10 would trade
Prediction - when the option gurus have finished going through the math, the ETH^2 version of this will turn out to be equivalent to chaining short-term variance swaps, without the delta hedge that gives variance swaps a zero delta.https://twitter.com/_Dave__White_/status/1427652305009004545 …
-
-
-
include a significant fudge factor in your model and market to degenerates who are going to pay a hefty premium in funding
- Show replies
New conversation -
-
-
If these things actually have volume, they'd be an absolute dream to trade for parasitic traders like me
-
Sir assisting with price discovery in a new asset is far from parasitic
- Show replies
New conversation -
-
-
Sounds about right.
Thanks. Twitter will use this to make your timeline better. UndoUndo
-
-
-
This one is also pretty good.https://www.paradigm.xyz/2021/05/everlasting-options/ …
Thanks. Twitter will use this to make your timeline better. UndoUndo
-
-
-
the replicating portfolio of expiring ETH^2 is i think proportional to long 1 1-strike call, long 1 2-strike call, long 1 3-strike call, etc. (but scaled down and also continuous) is that what a var swap is?
-
Variance swap replicating portfolio is a portfolio of long puts/calls with equal spaced strikes, where you have a position proportional to 1/K^2 in the option with strike K, plus a delta hedge.
- Show replies
New conversation -
-
-
how come? a variance swap payoff is (rv^ 2 - K), with rv accruing over the life of the trade. this payoff is (S_T^2 - K), only terminal spot matters (at least from what I glean)
Thanks. Twitter will use this to make your timeline better. UndoUndo
-
-
-
that’s correct, it’s exposure to a geometric series of moments https://llllvvuu.dev/blog/raw-moments … and indeed you can isolate nth central moment by just maintaining the binomial coefficients the pro and con is that you don’t trade the calendar
Thanks. Twitter will use this to make your timeline better. UndoUndo
-
Loading seems to be taking a while.
Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.