Crash of the market and VIX spike, or crash of the VIX/VX down to 10s? Not sure I'm following, as I've said - we must be talking about different...
I'm not really sure what type of conditions and VIX Put prices do you imply, that you would need to 'survive'. The highest price of 13P over the...
Quick update - interesting vol observations. [ATTACH] At roughly ~30 trading days until expiration, /VX May appears to be extremely cheap (13.48...
Thanks for the replies. They've basically said that this deal couldn't be pre-arranged, and I should contact them again, after I establish the...
Hi everyone, I have a quick question in regards to IB - is there a possibility to negotiate a "custom" margin requirement for a specific asset...
With focus on /VX, there could be better options, than continuous re-balancing of M1/M2 spread... Overall, I think that it's a common theme with...
I think that your best bet is CFD on VXX; 10% initial margin requirement with daily posting of collateral. Sometimes VXX makes more sense, as the...
Honestly, I have simply viewed selling ITM puts as betting on slightly higher vol/settlements >13, without paying anything for it. With this type...
I agree on decay and that it's mostly a "hold until the expiration". I also think that they are priced like this for a reason...The so-called...
Thanks for this information, I was actually looking at doing some fixed-income with lever....
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The "roll down" and "will kill"? Not sure what you mean - any sold put that "covers" losses up to 11.5 or so...the maximum loss would be capped...
What if we take the assumption of holding until the expiry? Not quite 'technical' IMO...I've pulled some /VX data recently; /VX price vs. Trading...
Price of the put option is the main variable. What makes it expensive? I suppose the overall level of the term structure. Spot VIX or M1 is...
Hi everyone, I was wondering, if anyone has utilized this strategy, either naked or as a spread...I was searching for information, but did not...
Here is a spreadsheet, which you can use for any stock/index...
I think I've said "...the dates are obviously wrong...". I have simulated data for VXX/UVXY/XIV since 2004, if you are interested.
I guess you can also relate this to the shape of the curve...yeah, vixcentral is vital for doing anything with /VX and its ETPs..
The dates are obviously wrong, but yeah...simulated based on /VX values at that time...which would be quite different these days, given the size...
Hi everyone, my question is related to SVXY - I'm well aware of its mechanics, but I was looking at specific scenario... Let's suppose we see...
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