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atticus
Registered: Mar 2007
Posts: 12634 |
03-14-12 10:00 PM
The April 25C is an outright sale here at 2.00. The 15/20 backspread is trading even, so the entire debit of the 5-wide fly is expressed in that call. Short it and use the credit to finance some long ITM SPY puts.
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trefoil
Registered: Mar 2007
Posts: 3385 |
03-14-12 10:38 PM
Quote from atticus:
The April 25C is an outright sale here at 2.00. The 15/20 backspread is trading even, so the entire debit of the 5-wide fly is expressed in that call. Short it and use the credit to finance some long ITM SPY puts.
Hmm. That sounds like decent advice. Will look into that. Thanks.
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trefoil
Registered: Mar 2007
Posts: 3385 |
03-16-12 02:14 AM
FYI, I did this but modified it somewhat.
Sold 6 23/28 call spreads on April for the VIX, and bought 2 139/129 put spreads on the SPY. I didn't sell outright 'cuz of the crazed margin I'd have to put up, and I did 23 because it was close to ATM at the time, and I always like to sell/buy at right around ATM if I can manage it these days.
On the SPY it would have been 140/130 or 141/131 if I had realized the SPY wasn't exactly a fraction of the SPX, but I didn't have it on my watchlist when I did this and so mistakenly thought the 139 would be just a wee bit OTM as opposed to being more than a handle OTM at the time of execution.
Oh well, stupid mistakes you make on trying something for the first time.
Credit on the VIX spreads was 108 * 6, debit on the SPY spreads was 189 * 2, so ex commish, max profit is 270 assuming of course the SPY doesn't crater, in which case we start looking at the max profit from the POV of the hedging SPY put spread. Small position, but for now I'm doing this as an experiment. Slight loss on it today of course between swallowing the commish & spread, so the first real day for a test of this is tomorrow.
It'll be fun to watch if nothing else.
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atticus
Registered: Mar 2007
Posts: 12634 |
03-16-12 02:22 AM
Quote from trefoil:
FYI, I did this but modified it somewhat.
Sold 6 23/28 call spreads on April for the VIX, and bought 2 139/129 put spreads on the SPY. I didn't sell outright 'cuz of the crazed margin I'd have to put up, and I did 23 because it was close to ATM at the time, and I always like to sell/buy at right around ATM if I can manage it these days.
On the SPY it would have been 140/130 or 141/131 if I had realized the SPY wasn't exactly a fraction of the SPX, but I didn't have it on my watchlist when I did this and so mistakenly thought the 139 would be just a wee bit OTM as opposed to being more than a handle OTM at the time of execution.
Oh well, stupid mistakes you make on trying something for the first time.
Credit on the VIX spreads was 108 * 6, debit on the SPY spreads was 189 * 2, so ex commish, max profit is 270 assuming of course the SPY doesn't crater, in which case we start looking at the max profit from the POV of the hedging SPY put spread. Small position, but for now I'm doing this as an experiment. Slight loss on it today of course between swallowing the commish & spread, so the first real day for a test of this is tomorrow.
It'll be fun to watch if nothing else.
Yeah, I kept it naked to keep it simple. Not terribly prudent to sell naked upside in VIX.
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trefoil
Registered: Mar 2007
Posts: 3385 |
03-16-12 02:44 AM
Quote from njrookie1:
what about hedging it by selling upside spy calls?
Can't speak for atticus of course, but I thought the proposed structure was brilliant because it's practically like buying a straddle/strangle, if the SPY and VIX act anything like they have historically.
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