In the previous dispatch, I outlined a trading strategy for VIX futures that sports a risk-adjusted annualized return of 24 percent. A friend who is interested in investing suggested, quite correctly, that constructing a rolling portfolio of VIX futures would require an institutional account. Basically, you'd need a seat at the big boys' table, ie get a dealer to make the market for you. This raised the obvious question: What is the systematic advantage of having a seat at the table? What is the wholesale premium? Ie, how much more do the big fish earn simply due to their access to the big boys' table?
The Wholesale Premium in the Volatility Trade
The Wholesale Premium in the Volatility Trade
The Wholesale Premium in the Volatility Trade
In the previous dispatch, I outlined a trading strategy for VIX futures that sports a risk-adjusted annualized return of 24 percent. A friend who is interested in investing suggested, quite correctly, that constructing a rolling portfolio of VIX futures would require an institutional account. Basically, you'd need a seat at the big boys' table, ie get a dealer to make the market for you. This raised the obvious question: What is the systematic advantage of having a seat at the table? What is the wholesale premium? Ie, how much more do the big fish earn simply due to their access to the big boys' table?