Phil, Quick question: if you had bought vanilla SPX PUTs with equal dollar value and roughly matching tenor, would you have had better or worse gains from the recent correction and VIX spike compared with your VIX calls?
Hard to say exactly because I cannot back into where a $1.75 put on the SPX would have been at the time or even a $17.50 Put. However, VIX can move further from a smaller drop in SPX if the expectations and fear pick up and the VIX hedge is to really hedge against a large short-term drop in the SPX, not a hedge on any downward move. It is an attempt at black swan insurance. The recent drop in the SPX was by no means a black swan event but the calls did move nicely nonetheless. If the spike was more sudden and less orderly, it would be interesting to see how they would operate then.
Paid 99 on 30... bought 9 at 14820. Traded another 20 for a seg account. +$4,700 net of comms. Flat position.
Bought stock this morning at $455. Friday's trade saw me assigned on the calls, earned a buck on the trade, but not posing the PnL from that transaction. GOOG made 4 points and change. On the 50 synthetic straddles -- bought $455 average on the above spot-trade as well. +99,000 net of comms.
"position" update : 45 debit is currently 53$ , gains comes from shifting of Touch bet toward the strike and partially of the vols ratio reverting to the mean. B , let me know if you don't want this staff here , I will delete it , no prob.
Questions that anyone may answer from a new kid: 1) What is Kurtosis? 2) What is an "exotic option" or "vanilla option"? (I did not know they are available in different flavors)
Resource links: www.google.com www.investopedia.com www.wikipedia.org 1) http://en.wikipedia.org/wiki/Kurtosis or in english http://www.investopedia.com/terms/k/kurtosis.asp 2) http://en.wikipedia.org/wiki/Vanilla_option#Vanilla_and_exotic_options