If you have a short options/short gamma position on in NYMEX crude option & would like to add/buy "gamma" to hedge outside of using crude futures options, are there any alternatives? ETF listed options etc ? As OptionCoach used to employ SPY options as a hedge for SPX short put positions. Anyone aware of any other alternatives?
1) Has the CME/MYMEX listed crude-oil-VIX-options yet? 2) The ETF options could have merit in the short-term where tracking error should be less of a "problem". 3) What about options on the Brent crude oil? :eek: 4) Heating oil or gasoline options?
Oil vix futures are available, but no actual market being made last I looked. No options either. HO and RB iv basically identical to CL, so no gains there. You can always think about currency or gold options... In addition to OIL ETF.
BBG shows nothing for oil VIX time & sales today, but for gold VIX : DVIJ1 1 9 . 1 5 -.15 18.61/19.61 09:39:08 19.15 09:37:16 19.16 08:16:51 19.21 07:39:59 19.29
I'd be hesitant to use gold and other precious metals as hedges against crude only because the correlation between the two doesn't possess an R-squared value anywhere close to 1.