obviously to me there is no simple answer.. haha... to take a long view on implieds you have to take other risks... iknow i'm not telling you anything.. but i'm just thinking outloud.. can you say anything about the skew in the vix options through the term structure as opposed to the vix futures term structure themselves... i've looked at upside flys in vix.. they seem counter intuitive to me.. the deeper otm leg is usually so expensive.. theoretically if you had liquid beta names that sold off in a similar fashion to the index wouldn't there be more edge in the single name basket then in the index considering the relatively larger negative skew in the index. . the sticky delta comment relative to calenders... how exactly does one gain from skew if the underlying goes up...
yes... there are several ways to express your long vol view.... with diferent associated risks... which expression...
I don't know how many I'll do, but the LNKD Feb8/15 neutral calendar is a buy. Got this from a guy in our chatroom. I had no idea that the shares were at 125. A great neutral lottery shot.
I am long the ANF Mar 40/50/60 fly from 3.75 risk. It's not in the journal account (account being merged this week). I am approx 2% in this globally, including OPM. I mention is simply bc it's diverged a bit on this index rally.
24.42 mid mark. Price model was screaming but I have an aversion to trading NFLX in any size. My AAPL cal is long delta so I will hold NFLX as it is sufficiently correlated and $5 above neutrality (shares).