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H guys, Does anyone know why for variance swaps we can hedge them with options but for volatility we cannot hedge them with options? I understand delta hedging versus static replication so I don't need an explanation of that. Vol swaps expose you to sheer volatility of the asset rather than its...

Ah I think I can understand now what you're saying. I was calculating absolute changes in npv after changing interest rate. whereas what you're saying is these absolute change/new npv after interest rate increase is what sensitivity is really measuring. If I do that as per my excel sheet...

Just to add on to this point "The Sensitivity is the Duration multiplied with the NPV. A lower coupon results in higher Duration but in lower NPV. BPV=−Duration⋅NPV⋅110000" i assume by the duration above you're referring to modified duration. my question is why does the modified duration...

Hi sorry I realize I posted an unhelpful typo. I was actually wondering why duration goes up for lower coupon bonds. You have explained using weighted average time to maturity. I understand this explanation already as I posted in my initial post. "but the sensitivity (e.g. bpv) decreases, at...

Hi guys, My question is why does duration go down for lower coupon bonds. I have read many many threads on this already on the internet and bionic turtle. The reason I still post this question is b/c I understand the question from the macaulay's duration point of view which is that you get...

Hi guys, Why would I short future if my stocks outperform to lock in the profit? I don't quite understand this concept. Doesnt short futures act as a hedge to mitigate against stock price decreases? how does it lock in the profits of stock prices going up? I don't quite get this. I tried...

Hi there I would love to join a study gorup as well. 9172321088. Please add me!

Hi David, I read through some other forums and I kind of understand this concept now. Basically that I am shorting futures to hedge against spot asset price declines. But really if I want the overall payoff in my strategy to be positive I would ideally like my spot price to go up thereby my...

Hi David, Thank you so much for your response above. I understood everything you said about the above which is why I would like to ask why is a short hedge wanting basis risk to increase?? If I am short a bond futures contract I would want the spot price to come crashing down so that I make...