As of last nite's close (VIX 10.17): 12 puts - 0.90 15 calls - 0.6 25 calls - 0.15 So the whole structure valued at -0.60, which means, IIRC, that it's lost money from inception. However, this may not matter, as the structure has apparently been rolled to Dec. I am not sure how the roll was priced, so I hereby terminate coverage of this trade .
It was that English money manager, no? Sir Whatshisname That manages money for the Church of England.
Ooh-la-la, it's not a great day to be a mammoth... Looked pretty heroic for a bit there, did our proboscidean, but, alas, it was not to last...
XIV is trading at 19 right now, SVXY trading at 18. Looks like the entire vol landscape might be in for a major shakeup after this, we'll see. It can probably only be a good thing.
Right, the bet that vol will go up but only so far and not beyond that. Seems like it's a bet on the ole Yellen style market coming to the rescue just like every other time over the past 2-3 years.
Smth like that, I guess... As we discussed a while ago, it's bigly short vol of vol and I can't imagine it's having a good day today.