You forgot that these option's underlying is May08 futures, but not the VIX itself. So there was nothing wrong with this position at January, because of strong backwardation in VIX futures. Highest price for may futures was 28 at 22/1/2008, so that's ok. Certainly, more threat will appear when may become front month, but I see that position is already profitable (6.35-2.2*2=1.95), so why not to buy 35 Call for 0.75 ? Not a very big price for a good sleep
Yes, up two handles at unbound risk after two months of waiting. Some trade. Would you be here posting if the vix sat at 50 today?
I am not sure what your reply has to do with my post from 1/21. This what vix did NEXT morning : Date Open High 22-Jan-08 35.12 37.57
Just wanted to point out that it's incorrect to look just on VIX and not on futures, so the odds are really better than someone could suppose at first sight . Of course, if VIX grows above 50, loss is inevitable.
My $VIX trade is up shits creek too. I'm short Apr 30 calls, covered at 37.5. Luckily I have another month to hope I see a price that lets me roll to may. Cheers deberliner, doesn't losing large sums of money make you feel so alive!