http://seekingalpha.com/article/404...ifp=0&utoken=8e6b05b488bed9d29c076b7e02308de8 Interesting read... I wonder what the strategy is. This guy has bought $33 mln worth of VIX Feb/March calls in the last 2 weeks (allegedly). But VIX futures for Feb/March have only gone down... Wasn't much of a delta in it at the start I think (20-ish?), so even if hedged with short futures there would be some risk in VIX to the upside for him.
Link for the Bloomberg interview. https://www.bloomberg.com/news/arti...uyer-has-options-insiders-asking-21-questions I don't hold this Bloomberg guy too high though, since he makes the rookie mistake of comparing Feb and March options to the VIX index level instead of the futures, which are a bit higher.
Perhaps 50cents works for Soros, and is responsible for hedging > 10% SPX drops (pick a better number). (But must be hedging a huge pile of positions). I have no idea, but when I first wrote that, it did not stink too bad. (the stench is building, however) ;-(
Yeah maybe... So 50ct has got about 660k calls. If there's a 10% glide... VIX would be at what... 30? A bit below 30? So on average the calls will be $10 ITM. So he's sitting on $660mln payout. Hedge for 6.6bln long position, where 10% loss is offset with these calls? For a 0.5% insurance fee per 2 months.... Could be...