index arb–vol basis. adds buying power under SPAN and TIMS. 170K is req on other risk positions. 800 lot SPX. arbs byu/FSO88 inoptions Posted by FSO88
FSO88 on February 6, 2026 6:25 pm $0 VaR and expected shortfall on 800 lots and $40K vols. Adds BP. The only limit is capacity. GLHF. 😛
2 Comments
https://imgur.com/a/BVBNAeV
$0 VaR and expected shortfall on 800 lots and $40K vols. Adds BP. The only limit is capacity. GLHF. 😛