​Daily Wrap – New Vol Arb Fund Launched; CME Makes Divs Case

Option pit founder Mark Sebastian is taking the theory out of the class room, launching his very own vol arb fund based in Chicago. The fund will focus on shorting VIX calls, puts or call spreads and then buying puts in SPX against it. It’s initially targeting retail and family office clients, with the long-term goal of attracting institutional clients. We also talk to CME’s Tim McCourt today, as the bourse gears up for its launch of div futures on the S&P. CME is targeting an initial margin of 4-5% for its S&P 500 Quarterly Dividend futures and a 1-2% margin on its annual expiry when the contracts launch next month.