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