The -SEP/+OCT/-NOV VX Fly looks interesting at around 1.50 credit... Will have to study if I want to overlap this with my NOV/DEC/JAN position but then I will have -SEP/+OCT/-NOVx2/+DEC/-JAN. Might be interesting though since lack of any swan event should have SEP and NOV come down to earth a little?
this is all i trade...and i would rather cut my balls off than trade front fly (or front spread) short vol..no matter the perceived edges.. good luck
Yes find it easier to play the front month with VIX options rather than VX to control the risk. But the catch 22 is VIX options are inflated at the moment. I am waiitng until Monday for next move since Friday will be too cautious in my opinion.
The spike in vols has pushed my FLYS and Calendars into the red so I have no choice but to just sit on them and wait for the vols to bleed out . I also had a model for VXX scalps overnight but these spike outside the normal range has made it not work as well as when we have rangebound vols. Outlier vol spikes kind of skew models and you have to just wait it out I guess. Needless to say it has been a week of losses so trying to look ahead to next week . I always say the moment of inversion of the curve is usually maximum pain and takes some patience to hold through it. VIX is staying up there so /VX is drifting up. Hope you are fairing well